Efficient likelihood estimation in state space models (Q449965)
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scientific article; zbMATH DE number 5686536
- On some problems in the article ``Efficient likelihood estimation in state space models'' by Cheng-Der Fuh
- Reply to ``On some problems in the article `Efficient likelihood estimation in state space models{'}'' by Cheng-Der Fuh
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient likelihood estimation in state space models |
scientific article; zbMATH DE number 5686536 |
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Efficient likelihood estimation in state space models (English)
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On some problems in the article ``Efficient likelihood estimation in state space models'' by Cheng-Der Fuh (English)
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Reply to ``On some problems in the article `Efficient likelihood estimation in state space models{'}'' by Cheng-Der Fuh (English)
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3 September 2012
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24 March 2010
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consistency
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efficiency
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ARMA models
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(G)ARCH models
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stochastic volatility models
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asymptotic normality
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asymptotic expansion
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Markov switching models
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maximum likelihood
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incomplete data
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iterated random functions
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0.95347184
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0.94916457
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0.92494285
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0.9208573
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0.9187323
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0.91445756
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0.9108486
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