Comments on "Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples"

J. Terceiro
2000 Computers and Mathematics with Applications  
This paper discusses some results contained in a paper by Zadrozny and Mittnik [1] in relation to the work developed by Terceiro [2]. It also considers several issues concerning the efficiency of the algorithm and the state-space formulation of VARMA models. (~)
doi:10.1016/s0898-1221(00)00168-1 fatcat:5pwii3eh7rd57beubyu3ixqxue