A flexible state space model and its applications

DOI10.1111/JTSA.12051zbMATH Open1301.62097OpenAlexW3023565450MaRDI QIDQ2933192FDOQ2933192

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

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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)

Cites Work

• On leverage in a stochastic volatility model
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Title not available (Why is that?)
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Maximum likelihood estimation for dynamic factor models with missing data
• Multivariate Stochastic Variance Models
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Time series analysis by state space methods.
• The ARMA model in state space form
• Maximum likelihood identification of Gaussian autoregressive moving average models
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
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• Linear filtering for asymmetric stochastic volatility models

Cited In (7)

• Proper dispersion state space models for stochastic volatility
• Flexible Discrete Time State Space Model for Canal Pools
• Title not available (Why is that?)
• 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

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