Estimation for a class of generalized state-space time series models.
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Publication:1871362
DOI10.1016/S0167-7152(02)00325-5zbMath1056.62098MaRDI QIDQ1871362
Publication date: 7 May 2003
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
exponential familiesmaximum likelihood estimationstate-space modelsquasilikelihood estimationconjugate exponential familiesMarkovian specifications
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)
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Cites Work
- Markov chains and stochastic stability
- Conjugate priors for exponential families
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
- Quasi-likelihood models and optimal inference
- A comparison of three non-linear filters
- Markov Regression Models for Time Series: A Quasi-Likelihood Approach
- The foundations of finite sample estimation in stochastic processes
- A regression model for time series of counts
- Sufficient conditions for regularity, recurrence and ergodicity of Markov processes
- Prediction theory for autoregressivemoving average processes
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