Parameters estimation for SSMs: QL and AQL approaches

MaRDI QIDQ3107475zbMATH OpenFDO

Authors Raed Alzghool, Yan-Xia Lin

Publication date 24 December 2011

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• scientific article; zbMATH DE number 1222311

Cited in

(1)

• Asymptotic quasi-likelihood based on kernel smoothing for multivariate heteroskedastic models with correlation

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