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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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The exact score for time series models in state space form
The exact score for time series models in state space form
Publication information:
Koopman, Siem Jan, and Neil Shephard. 1992. “The Exact Score for Time Series Models in State Space Form”.
Biometrika
79: 823-26.
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