A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models

DOI10.1016/J.JNNMS.2014.11.002zbMATH Open1349.62533OpenAlexW2078460443MaRDI QIDQ2833228

E. B. Nkemnole, O. Abass

Publication date: 17 November 2016

Published in: Journal of the Nigerian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jnnms.2014.11.002

zbMATH Keywords

likelihoodstate-space modelsequential Monte Carloexpectation-maximizationStudent-\(t\) distributionunivariate and multivariate stochastic volatility model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

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