The following pages link to Siem Jan Koopman (Q290967):
Displaying 50 items.
- Fast Filtering and Smoothing for Multivariate State Space Models (Q62653) (← links)
- The multi-state latent factor intensity model for credit rating transitions (Q290969) (← links)
- Testing the assumptions behind importance sampling (Q302094) (← links)
- (Q337773) (redirect page) (← links)
- Spillover dynamics for systemic risk measurement using spatial financial time series models (Q337776) (← links)
- (Q405326) (redirect page) (← links)
- Stationarity and ergodicity of univariate generalized autoregressive score processes (Q405328) (← links)
- (Q550844) (redirect page) (← links)
- Maximum likelihood estimation for dynamic factor models with missing data (Q550846) (← links)
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data (Q726598) (← links)
- Modeling frailty-correlated defaults using many macroeconomic covariates (Q737911) (← links)
- Forecasting daily time series using periodic unobserved components time series models (Q1010432) (← links)
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633) (← links)
- Detecting shocks: Outliers and breaks in time series (Q1371379) (← links)
- Bootstrap tests when parameters of nonstationary time series models lie on the boundary of the parameter space (Q1580832) (← links)
- Long memory with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
- Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area (Q1670167) (← links)
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (Q1746551) (← links)
- Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling (Q1927099) (← links)
- A time-varying parameter model for local explosions (Q2116324) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)
- The dynamic factor network model with an application to international trade (Q2173192) (← links)
- Partially censored posterior for robust and efficient risk evaluation (Q2190228) (← links)
- Long-term forecasting of El Niño events via dynamic factor simulations (Q2280599) (← links)
- Accelerating score-driven time series models (Q2330723) (← links)
- Exact maximum likelihood estimation for non-stationary periodic time series models (Q2445716) (← links)
- Generalized dynamic panel data models with random effects for cross-section and time (Q2451769) (← links)
- Missing observations in observation-driven time series models (Q2658759) (← links)
- (Q2760417) (← links)
- (Q2891271) (← links)
- (Q2906604) (← links)
- Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra (Q3018541) (← links)
- Likelihood functions for state space models with diffuse initial conditions (Q3103195) (← links)
- Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers (Q3368336) (← links)
- (Q3498093) (← links)
- Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model (Q3525709) (← links)
- Model-Based Measurement of Actual Volatility in High-Frequency Data (Q3571966) (← links)
- Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models (Q3606638) (← links)
- Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility (Q3646959) (← links)
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models (Q4364934) (← links)
- Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models (Q4376042) (← links)
- Filtering and smoothing of state vector for diffuse state-space models (Q4431629) (← links)
- A simple and efficient simulation smoother for state space time series analysis (Q4455356) (← links)
- Time Series Modelling of Daily Tax Revenues (Q4469586) (← links)
- Amendments and Corrections (Q4561006) (← links)
- Disturbance smoother for state space models (Q4695181) (← links)
- Statistical algorithms for models in state space using SsfPack 2.2 (Q4705831) (← links)
- Stella Vivian Cunliffe; James Durbin; John N. R. Jeffers; Francis Henry Charles Marriott; Rod McDonald; George Vaughan Dyke; Wilfred J. Corlett (Q4903228) (← links)
- Likelihood‐based dynamic factor analysis for measurement and forecasting (Q5091819) (← links)
- Information-theoretic optimality of observation-driven time series models for continuous responses (Q5258425) (← links)
