Koopman, Siem Jan; Shephard, N.G. - Suntory and Toyota International Centres for Economics … - 1992
The score vector for a time series model which fits into the Gaussian state space form can be approximated by numerically differentiating the log-likelihood. If the parameter vector is of length p, this involves the running of p + 1 Kalman filters. This paper shows the score vector can be...
