Fast estimation methods for time-series models in state–space form
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Publication:3615060
DOI10.1080/00949650701617249zbMath1161.62057OpenAlexW2568934643MaRDI QIDQ3615060
José Casals, Alfredo García-Hiernaux, Miguel Jerez
Publication date: 17 March 2009
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650701617249
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)
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Uses Software
Cites Work
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