Convergence of Discount Time Series Dynamic Linear Models

DOI10.1080/03610920601143535zbMath1124.62062OpenAlexW2138694580MaRDI QIDQ5421562

Kostas Triantafyllopoulos

Publication date: 24 October 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601143535

zbMATH Keywords

Jordan canonical formRiccati equationKalman filteringstate space modelsBayesian forecastingdynamic models

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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Covariance matrix and transfer function of dynamic generalized linear models ⋮ Dynamic modeling of mean-reverting spreads for statistical arbitrage

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