Estimation for a class of generalized state-space time series models.

DOI10.1016/S0167-7152(02)00325-5MaRDI QIDQ1871362zbMATH OpenFDO

Authors T. Fukasawa, I. V. Basawa

Publication date 7 May 2003

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationstate-space modelsexponential familiesquasilikelihood estimationconjugate exponential familiesMarkovian specifications

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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• A comparison of three non-linear filters
• A regression model for time series of counts
• Conjugate priors for exponential families
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Markov chains and stochastic stability
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Prediction theory for autoregressivemoving average processes
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Quasi-likelihood models and optimal inference
• Sufficient conditions for regularity, recurrence and ergodicity of Markov processes
• The foundations of finite sample estimation in stochastic processes

Cited in

(11)

• Statistical inference for first-order random coefficient integer-valued autoregressive processes
• First-order observation-driven integer-valued autoregressive processes
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes
• Stationary state space models for longitudinal data
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• Fast estimation methods for time-series models in state–space form
• On the compound Poisson-gamma distribution
• First-order random coefficient integer-valued autoregressive processes
• Empirical likelihood inference for first-order random coefficient integer-valued autoregressive processes
• Observation-driven generalized state space models for categorical time series
• Prediction and interpolation of time series by state space models

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