I’m looking for code to estimate a Gaussian MA(2) model by full information maximum likelihood. I have found several Kalman filtering packages that could do the job, but I was wondering if anyone has code for the special case of MA(q) models?
Related topics
| Topic | Replies | Views | Activity | |
|---|---|---|---|---|
| [ANN]: Turing 0.13.0 - MLE/MAP and prediction | 6 | 2904 | May 25, 2020 | |
| Expectation-Maximization for Kalman Filter with Continuous State Variables | 3 | 136 | October 8, 2024 | |
| [ANN(s)] HalfSpectral.jl: a convenient interface for half-spectral covariance functions, and GPMaxlik.jl: trust-region based maximum likelihood estimation for Gaussian Processes | 0 | 400 | July 23, 2020 | |
| [ANN] AugmentedGaussianProcesses.jl | 3 | 854 | July 1, 2019 | |
| Variational Inference for Gaussian Mixture models | 4 | 475 | January 26, 2024 |