Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
From MaRDI portal
Recommendations
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Empirical likelihood in long-memory time series models
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Estimation of long-memory time series models: a survey of different likelihood-based methods
- Adjusted empirical likelihood for long-memory time-series models
- Estimating a generalized long memory process
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
Cites work
- A new estimator of the fractionally integrated stochastic volatility model
- A simple and efficient simulation smoother for state space time series analysis
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Computationally efficient methods for two multivariate fractionally integrated models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
- Fractional differencing
- scientific article; zbMATH DE number 5769397 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 3992765 (Why is no real title available?)
- scientific article; zbMATH DE number 1894679 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Likelihood analysis of non-Gaussian measurement time series
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Long Memory in Nonlinear Processes
- Long memory processes and fractional integration in econometrics
- Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
- Long‐Memory Time Series
- Modelling and forecasting noisy realized volatility
- Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Multivariate Stochastic Volatility: A Review
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Numerical methods of statistics
- Numerical Optimization
- On Gibbs sampling for state space models
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- State space modeling of long-memory processes
- Testing the assumptions behind importance sampling
- The detection and estimation of long memory in stochastic volatility
- The Distribution of Realized Exchange Rate Volatility
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Fitting of Time-Series Models
- The Model Confidence Set
- The simulation smoother for time series models
- Time series analysis by state space methods.
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Cited in
(3)
This page was built for publication: Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864370)
