Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise

DOI10.1016/J.SIGPRO.2010.04.020zbMath1195.94033OpenAlexW2138358122MaRDI QIDQ994210

Israel Cohen, Saman Mousazadeh

Publication date: 17 September 2010

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2010.04.020

zbMATH Keywords

parameter estimationnoisy datamaximum likelihoodGARCHrecursive maximum likelihood

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (1)

Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise

Cites Work

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• Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise
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• Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS

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