Pairwise Likelihood Inference for General State Space Models
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Publication:3615083
DOI10.1080/07474930802388009zbMath1161.62061MaRDI QIDQ3615083
Publication date: 17 March 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802388009
regime switching; efficiency; state space model; composite likelihood; pairwise likelihood; Tobit model; pseudolikelihood
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62F10: Point estimation
65C05: Monte Carlo methods
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