A flexible state space model and its applications

DOI10.1111/JTSA.12051MaRDI QIDQ2933192zbMATH OpenOpenAlexFDO

Authors Hang Qian

Publication date 10 December 2014

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

Full work available at URL https://mpra.ub.uni-muenchen.de/38455/1/MPRA_paper_38455.pdf

zbMATH Keywords

Kalman filterfactor modelARMAstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Filtering in stochastic control theory (93E11)

Recommendations

• State space models for functional time series
• scientific article; zbMATH DE number 1222386
• scientific article; zbMATH DE number 140164
• The estimation of a state space model by estimating functions with an application
• Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation

Cites work

• scientific article; zbMATH DE number 3662436 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Linear filtering for asymmetric stochastic volatility models
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Maximum likelihood estimation for dynamic factor models with missing data
• Maximum likelihood identification of Gaussian autoregressive moving average models
• Multivariate Stochastic Variance Models
• On leverage in a stochastic volatility model
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The ARMA model in state space form
• Time series analysis by state space methods.

Cited in

(9)

• Proper dispersion state space models for stochastic volatility
• Flexible Discrete Time State Space Model for Canal Pools
• scientific article; zbMATH DE number 4091302 (Why is no real title available?)
• A tractable state-space model for symmetric positive-definite matrices
• Comment on article by Windle and Carvalho
• Parameter Space Restrictions in State Space Models
• State space models on special manifolds
• A low dimensional Kalman filter for systems with lagged states in the measurement equation
• Multidimensional state-space models: A comparative overview

This page was built for publication: A flexible state space model and its applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2933192)