Likelihood Inference for Exponential-Trawl Processes
From MaRDI portal
Publication:2956055
DOI10.1007/978-3-319-25826-3_12zbMath1359.62347arXiv1501.00925MaRDI 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 algorithm; maximum likelihood estimate; Poisson random measure; hidden Markov process; integer-valued process; filtering and smoothing; trawl process
60E07: Infinitely divisible distributions; stable distributions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
62M05: Markov processes: estimation; hidden Markov models
Related Items
Inference and forecasting for continuous-time integer-valued trawl processes, Modeling, simulation and inference for multivariate time series of counts using trawl processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stationary infinitely divisible processes
- Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
- Prediction and smoothing for partially observed Markov chains
- Stable mixed moving averages
- Regression theory for categorical time series
- State estimation for partially observed Markov chains
- Integer-valued Lévy processes and low latency financial econometrics
- Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
- A negative binomial model for time series of counts
- A new look at time series of counts
- Applied Probability and Queues
- A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series
- Ambit Processes and Stochastic Partial Differential Equations
- On the autocorrelation and spectral functions of queues
