Estimating time series models for count data using efficient importance sampling

MaRDI QIDQ1879469zbMATH OpenFDO

Authors Robert C. Jung, Roman Liesenfeld

Publication date 22 September 2004

Published in AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationMonte Carlo integrationdynamic latent process

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Time series of count data: Modeling, estimation and diagnostics
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• Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
• Analyzing the full BINMA time series process using a robust GQL approach
• Estimation methods for a flexible INAR(1) COM-Poisson time series model

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