Simulated maximum likelihood in autoregressive models with stochastic volatility errors

DOI10.1002/asmb.2095MaRDI QIDQ6574701

Bei Chen, Ji-Eun Choi, Bovas Abraham

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityautoregressive modelsimulated maximum likelihoodparticle filterefficient importance sampling

Mathematics Subject Classification ID

Statistics (62-XX)

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