Linear Models with Correlated Disturbances (Paperback) (ISBN-13: 9783540539018)

This book is primarily concerned with the estimation of regression models with correlated disturbances. Topics discussed include maximum likelihood, test strategies, Kalman filtering, conditional normal distributions, the Cramér-Rao inequality, Cholesky decomposition, missing observations and numerical optimization. A simple geometrical approach is used.

Author: Paul Knottnerus
ISBN-10: 3540539018
ISBN-13: 9783540539018
Publisher: Springer
Language: English
Published: 05/07/1991
Pages: 196
Format: Paperback
Weight: 0.76lbs
Size: 9.61h x 6.69w x 0.45d