The estimation of a state space model by estimating functions with an application

DOI10.1111/J.1467-9574.2004.00268.XzbMath1061.62149OpenAlexW1991657998MaRDI QIDQ4665350

Demetrios Papanastassiou, Demetrios Ioannides

Publication date: 11 April 2005

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.2004.00268.x

zbMATH Keywords

tablesstochastic volatilityextended Kalman filterestimating functions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Stationary state space models for longitudinal data

Cites Work

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• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• On spaces of estimating functions
• An extension of quasi-likelihood estimation

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