Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation (Q3368340)
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scientific article; zbMATH DE number 5002393
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| English | Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation |
scientific article; zbMATH DE number 5002393 |
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Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation (English)
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27 January 2006
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ARCH model
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EM algorithm
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finite dimensional filter
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recursive updating
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SV model
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0.88728833
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0.8669549
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0.8552503
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0.8523397
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