Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function

DOI10.1111/j.1467-9469.2008.00611.xzbMath1197.62011MaRDI QIDQ3552941

Tore Selland Kleppe, Hans Julius Skaug

Publication date: 22 April 2010

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2008.00611.x

zbMATH Keywords

maximum likelihood; ARMA; network model; saddlepoint approximations

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

62E17: Approximations to statistical distributions (nonasymptotic)

Uses Software

• Matlab
• Optimization Toolbox

Cites Work

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• Exact saddlepoint approximations
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• Introduction to Time Series and Forecasting
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• Tail Exactness of Multivariate Saddlepoint Approximations
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions