A simulation smoother for long memory time series with correlated and heteroskedastic additive noise (Q5083988)
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scientific article; zbMATH DE number 7545556
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simulation smoother for long memory time series with correlated and heteroskedastic additive noise |
scientific article; zbMATH DE number 7545556 |
Statements
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise (English)
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21 June 2022
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filtering
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Kalman filter
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long memory
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state space models
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simulation smoother
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stochastic volatility
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