Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise (Q994210)
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scientific article; zbMATH DE number 5787020
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| English | Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise |
scientific article; zbMATH DE number 5787020 |
Statements
Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise (English)
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17 September 2010
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GARCH
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parameter estimation
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noisy data
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maximum likelihood
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recursive maximum likelihood
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0.8502219
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0.84386194
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0.8405588
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0.8370808
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0.8364795
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