Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation

DOI10.2202/1558-3708.1213MaRDI QIDQ3368340zbMATH OpenOpenAlexFDO

Authors Paolo Vidoni

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1213

zbMATH Keywords

EM algorithmARCH modelrecursive updatingfinite dimensional filterSV model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(6)

• A flexible state space model and its applications
• A non-Gaussian family of state-space models with exact marginal likelihood
• A new filtering inference procedure for a GED state-space volatility model
• A closed-form filter for binary time series
• A new nonlinear formulation for GARCH models
• Approximate methods for state-space models

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