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Advanced pre-estimation functions (BETA code) |
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This library allows one to compute fast approximations to maximum-likelihood estimates. |
Summary |
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· Fast estimation of the model parameters using subspace methods |
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This library allows one to compute fast approximations to maximum-likelihood estimates. They can be used both, as preliminary or final estimates. This library implements the methods described in: Garcia-Hiernaux, A., Casals, J. and M. Jerez (2009) "Fast estimation methods for time series models in state-space form". Journal of Statistical Computation and Simulation, 79, 2, 121-134. |
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Contact: Miguel Jerez Webmaster: Alfredo Garcia-Hiernaux Tel. +34 913 942 383 Dpto. Fundamentos del Análisis Económico II Facultad de Ciencias Economicas y Empresariales Universidad Complutense de Madrid. Campus de Somosaguas. 28223 Madrid (Spain) |
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