By Scientia Professor Robert Kohn

Journal articles

Ansley CF; Kohn R, 1985, 'Estimation, Filtering, and Smoothing in State Space Models with Incompletely Specified Initial Conditions', The Annals of Statistics, 13, http://dx.doi.org/10.1214/aos/1176349739

Kohn R; Ansley CF, 1985, 'Computing the likelihood and its derivatives for a gaussian arma model', Journal of Statistical Computation and Simulation, 22, pp. 229 - 263, http://dx.doi.org/10.1080/00949658508810849

Ansley CF; Kohn R, 1985, 'On the rate of convergence of the innovation representation of a moving average process', Biometrika, 72, pp. 325 - 330, http://dx.doi.org/10.1093/biomet/72.2.325

Ansley CF; Kohn R, 1985, 'A Structured State Space Approach to Computing the Likelihood of an ARIMA Process and its Derivatives', Journal of Statistical Computation and Simulation, 21, pp. 135 - 169, http://dx.doi.org/10.1080/00949658508810810

Kohn R; Ansley CF, 1984, 'A note on Kalman filtering for the seasonal moving average model', Biometrika, 71, pp. 648 - 650, http://dx.doi.org/10.1093/biomet/71.3.648

Kohn R; Ansley CF, 1983, 'Fixed interval estimation in state space models when some of the data are missing or aggregated', Biometrika, 70, pp. 683 - 688, http://dx.doi.org/10.1093/biomet/70.3.683

Kohn R; Ansley CF, 1983, 'On the Smoothness Properties of the Best Linear Unbiased Estimate of a Stochastic Process Observed with Noise', The Annals of Statistics, 11, http://dx.doi.org/10.1214/aos/1176346270

Ansley CF; Kohn R, 1983, 'Exact likelihood of vector autoregressive-moving average process with missing or aggregated data', Biometrika, 70, pp. 275 - 278, http://dx.doi.org/10.1093/biomet/70.1.275

Kohn R; Ansley C, 1982, 'A Note on Obtaining the Theoretical Autocovariances of an ARMA Process', Journal of Statistical Computation and Simulation, 15, pp. 273 - 283, http://dx.doi.org/10.1080/00949658208810594

Ansley CF; Kohn R, 1982, 'A geometrical derivation of the fixed interval smoothing algorithm', Biometrika, 69, pp. 486 - 487, http://dx.doi.org/10.1093/biomet/69.2.486

Kohn R, 1982, 'When is an aggregate of a time series efficiently forecast by its past?', Journal of Econometrics, 18, pp. 337 - 349, http://dx.doi.org/10.1016/0304-4076(82)90087-2

Kohn R, 1981, 'A note on an alternative derivation of the likelihood of an autoregressive moving average process', Economics Letters, 7, pp. 233 - 236, http://dx.doi.org/10.1016/0165-1765(81)90057-4

KOHN R, 1980, 'ON THE SPECTRAL DECOMPOSITION OF STATIONARY TIME-SERIES USING WALSH-FUNCTIONS .2.', ADVANCES IN APPLIED PROBABILITY, 12, pp. 462 - 474, http://dx.doi.org/10.2307/1426606

KOHN R, 1980, 'SPECTRAL DECOMPOSITION OF STATIONARY TIME-SERIES USING WALSH-FUNCTIONS .1.', ADVANCES IN APPLIED PROBABILITY, 12, pp. 183 - 199, http://dx.doi.org/10.2307/1426501

Kohn R, 1980, 'On the spectral decomposition of stationary time series using walsh functions. I', Advances in Applied Probability, 12, pp. 183 - 199, http://dx.doi.org/10.1017/s0001867800033450

Kohn R, 1980, 'On the spectral decomposition of stationary time series using walsh functions. II', Advances in Applied Probability, 12, pp. 462 - 474, http://dx.doi.org/10.1017/s0001867800050266

Kohn R, 1979, 'Asymptotic estimation and hypothesis testing results for vector linear time series models.', Econometrica, 47, pp. 1005 - 1030, http://dx.doi.org/10.2307/1914144

KOHN R, 1979, 'IDENTIFICATION RESULTS FOR ARMAX STRUCTURES', ECONOMETRICA, 47, pp. 1295 - 1304, http://dx.doi.org/10.2307/1911964

Kohn R, 1978, 'Local and global identification and strong consistency in time series models', Journal of Econometrics, 8, pp. 269 - 293, http://dx.doi.org/10.1016/0304-4076(78)90048-9

Kohn R, 1977, 'Note concerning the Akaike and Hannan estimation procedures for an autoregressive-moving average process', Biometrika, 64, pp. 622 - 625, http://dx.doi.org/10.1093/biomet/64.3.622

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