Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation

DOI10.2202/1558-3708.1213zbMath1082.62522OpenAlexW1973483664MaRDI QIDQ3368340

Paolo Vidoni

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1213

zbMATH Keywords

EM algorithmARCH modelrecursive updatingfinite dimensional filterSV model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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