FORTRAN 95 code gsubex1.f95 to gsubex3.f95: Some Algorithms for the Conditional Mean Vector and Covariance Matrix. We consider here the problem of computing the mean vector and covariance matrix for a conditional normal distribution, considering especially a sequence of problems where the conditioning variables are changing. The sweep operator provides one simple general approach that is easy to implement and update. A second, more goal-oriented general method avoids explicit computation of the vector and matrix, while enabling easy evaluation of the conditional density for likelihood computation or easy generation from the conditional distribution. The covariance structure that arises from the special case of an ARMA(p, q) time series can be exploited for substantial improvements in computational efficiency.
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References in zbMATH (referenced in 1 article , 1 standard article )
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- John Monahan: Some Algorithms for the Conditional Mean Vector and Covariance Matrix (2006) not zbMATH