Filtering, Prediction and Simulation Methods for Noncausal Processes

DOI10.1111/jtsa.12165zbMath1381.62247OpenAlexW2107322569MaRDI QIDQ2802915

Christian Gouriéroux, Joanna Jasiak

Publication date: 3 May 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12165

zbMATH Keywords

nonlinear predictionspeculative bubblenoncausal processlook-ahead estimator

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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