Likelihood Inference for Exponential-Trawl Processes
DOI10.1007/978-3-319-25826-3_12zbMath1359.62347arXiv1501.00925OpenAlexW2262060829MaRDI QIDQ2956055
Neil Shephard, Justín Ju-Chen Yang
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00925
EM algorithmmaximum likelihood estimatePoisson random measurehidden Markov processinteger-valued processfiltering and smoothingtrawl process
Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)
Related Items (2)
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