Miscellanea. Time series with additive noise

DOI10.1093/biomet/86.2.474zbMath0929.62095OpenAlexW2049785185MaRDI QIDQ4267778

Mike K. P. So

Publication date: 31 January 2000

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/86.2.474

zbMATH Keywords

Markov chain Monte CarloKalman filterlong memorylong-range dependencestate space modeloutlier detectionstochastic volatility modelautoregressive fractionally integrated moving average

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Realized stochastic volatility with leverage and long memory ⋮ カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について ⋮ Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data ⋮ A simulation smoother for long memory time series with correlated and heteroskedastic additive noise ⋮ Modelling and forecasting noisy realized volatility ⋮ Inference of Seasonal Long‐memory Time Series with Measurement Error ⋮ Bayesian mixture of autoregressive models ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

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