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
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| 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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0.8054136633872986
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0.78355473279953
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0.7835087776184082
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0.7800180912017822
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0.7796998023986816
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