scientific article; zbMATH DE number 4201450

MaRDI QIDQ3349841zbMATH OpenFDO

Authors John Geweke

Publication date 1989

zbMATH Keywords

daily rates of change in stock pricemodels for unobserved componentsnormalityPolynomial expansions of normal probability density functionssymmetry

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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(5)

• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Nonlinear and nonnormal filters using Monte Carlo methods
• Model structure and numerical properties of normal equations
• Distribution theory and inference for polynomial-normal densities
• On the polynomial-normal model and option pricing

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