Efficient likelihood estimation in state space models (Q449965): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M09 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6075580 / rank | |||
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consistency | |||
| Property / zbMATH Keywords: consistency / rank | |||
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efficiency | |||
| Property / zbMATH Keywords: efficiency / rank | |||
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ARMA models | |||
| Property / zbMATH Keywords: ARMA models / rank | |||
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(G)ARCH models | |||
| Property / zbMATH Keywords: (G)ARCH models / rank | |||
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stochastic volatility models | |||
| Property / zbMATH Keywords: stochastic volatility models / rank | |||
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asymptotic normality | |||
| Property / zbMATH Keywords: asymptotic normality / rank | |||
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asymptotic expansion | |||
| Property / zbMATH Keywords: asymptotic expansion / rank | |||
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Markov switching models | |||
| Property / zbMATH Keywords: Markov switching models / rank | |||
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maximum likelihood | |||
| Property / zbMATH Keywords: maximum likelihood / rank | |||
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incomplete data | |||
| Property / zbMATH Keywords: incomplete data / rank | |||
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iterated random functions | |||
| Property / zbMATH Keywords: iterated random functions / rank | |||
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Revision as of 11:04, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient likelihood estimation in state space models |
scientific article |
Statements
Efficient likelihood estimation in state space models (English)
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3 September 2012
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consistency
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efficiency
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ARMA models
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(G)ARCH models
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stochastic volatility models
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asymptotic normality
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asymptotic expansion
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Markov switching models
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maximum likelihood
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incomplete data
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iterated random functions
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