Likelihood analysis of non-Gaussian measurement time series
From MaRDI portal
Publication:4364933
DOI10.1093/biomet/84.3.653zbMath0888.62095MaRDI QIDQ4364933
Neil Shephard, Michael K. Pitt
Publication date: 18 November 1997
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/af33bf9cca83292555ea5976e9c30ee4076b2891
importance sampling; stochastic volatility; Markov chain Monte Carlo; exponential family; blocking; simulation smoothing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C99: Probabilistic methods, stochastic differential equations
Related Items
Dynamic paired comparison models with stochastic variances, Particle Markov Chain Monte Carlo Methods, BAYESIAN ANALYSIS OF ECONOMETRIC TIME SERIES MODELS USING HYBRID INTEGRATION RULES, Inferences in Stochastic Volatility Models: A New Simpler Way, Structural Time Series Models with Feedback Mechanisms, Approximating Hidden Gaussian Markov Random Fields, Unnamed Item, Unnamed Item, Transfer functions in dynamic generalized linear models, A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization, Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models, A Survey of Sequential Monte Carlo Methods for Economics and Finance, Bayesian methods for time series of count data, Dynamic model averaging adapted to dynamic regression models for time series of counts, Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand, Ensemble Kalman Methods for High-Dimensional Hierarchical Dynamic Space-Time Models, A family of multivariate non‐gaussian time series models, Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes, Comparison of asymmetric stochastic volatility models under different correlation structures, A quasi-Bayesian model averaging approach for conditional quantile models, Bayesian Dynamic Dirichlet Models, Intraday Data vs Daily Data to Forecast Volatility in Financial Markets, Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter, Bayesian modeling of financial returns: A relationship between volatility and trading volume, A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD, A New Approach to Importance Sampling in Taylor’s Stochastic Volatility Model, Implicit Estimation for the Stochastic Volatility Model, Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation, Multivariate Stochastic Volatility: A Review, Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Multivariate Stochastic Volatility Models with Correlated Errors, Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model, Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects, AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY, Bayesian Analysis of Single-Molecule Experimental Data, Double Hierarchical Generalized Linear Models (With Discussion), Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility, Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series, Data cloning estimation for asymmetric stochastic volatility models, Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, Dynamic factor, leverage and realized covariances in multivariate stochastic volatility, Autoregressive and moving average models for zero‐inflated count time series, A point mass proposal method for Bayesian state-space model fitting, Student‐t stochastic volatility model with composite likelihood EM‐algorithm, Modified efficient importance sampling for partially non‐Gaussian state space models, Large stochastic volatility in mean VARs, Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19, Dynamic spatial regression models for space‐varying forest stand tables, Mixed-Response State-Space Model for Analyzing Multi-Dimensional Digital Phenotypes, A threshold stochastic volatility model with explanatory variables, Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances, Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter, On markov chain monte carlo methods for nonlinear and non-gaussian state-space models, Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models, On the use of non-linear transformations in stochastic volatility models, Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models, Bias-correction of Kalman filter estimators associated to a linear state space model with estimated parameters, The multi-state latent factor intensity model for credit rating transitions, Twisting the alive particle filter, Testing the assumptions behind importance sampling, Bandwidth selection in pre-smoothed particle filters, A statistical approach to the inverse problem in magnetoencephalography, On generalised asymmetric stochastic volatility models, Stochastic volatility in mean models with heavy-tailed distributions, Simulation smoothing for state-space models: a computational efficiency analysis, Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures, Latent diffusion models for survival analysis, Simulated likelihood inference for stochastic volatility models using continuous particle filtering, Maximum likelihood estimation of partially observed diffusion models, Bayesian estimation of a skew-Student-\(t\) stochastic volatility model, The HESSIAN method: highly efficient simulation smoothing, in a nutshell, Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach, Bayesian semiparametric stochastic volatility modeling, Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles, Particle filters for continuous likelihood evaluation and maximisation, A semiparametric stochastic volatility model, Interacting multiple try algorithms with different proposal distributions, Comparison of MCMC methods for estimating stochastic volatility models, Efficient MCMC sampling in dynamic mixture models, Particle efficient importance sampling, Bayesian analysis of the stochastic conditional duration model, Iterated importance sampling in missing data problems, A multivariate threshold stochastic volatility model, Improving MCMC, using efficient importance sampling, Factor estimation using MCMC-based Kalman filter methods, Estimating stochastic volatility models using daily returns and realized volatility simultaneously, Efficient Bayesian estimation of multivariate state space models, Parameter estimation of state space models for univariate observations, Time series of count data: Modeling, estimation and diagnostics, Parallel exact sampling and evaluation of Gaussian Markov random fields, Auxiliary mixture sampling with applications to logistic models, Bayesian inference for nonlinear multivariate diffusion models observed with error, Block sampler and posterior mode estimation for asymmetric stochastic volatility models, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Bayesian analysis of stochastic volatility models with mixture-of-normal distributions, Applications of quasi-periodic oscillation models to seasonal small count time series., Estimation of stochastic volatility models via Monte Carlo maximum likelihood, Function estimation with locally adaptive dynamic models, Bayesian dynamic probit models for the analysis of longitudinal data, Bayesian randomized response technique with multiple sensitive attributes: the case of information systems resource misuse, Long memory with stochastic variance model: a recursive analysis for US inflation, Efficient importance sampling in mixture frameworks, A flexible and automated likelihood based framework for inference in stochastic volatility models, VIX forecast under different volatility specifications, Sequential Monte Carlo smoothing with parameter estimation, Matrix exponential stochastic volatility with cross leverage, Dynamic equicorrelation stochastic volatility, A hybrid data cloning maximum likelihood estimator for stochastic volatility models, Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets, On asymmetric generalised t stochastic volatility models, Moderate deviations for particle filtering, Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling, Generalized extreme value distribution with time-dependence using the AR and MA models in state space form, Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors, Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution, Online data processing: comparison of Bayesian regularized particle filters, Asymptotic normality of the maximum likelihood estimator in state space models, Fast and accurate variational inference for large Bayesian VARs with stochastic volatility, Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange, The dynamic factor network model with an application to international trade, A fast and efficient Markov chain Monte Carlo method for market microstructure model, An efficient sampling scheme for dynamic generalized models, Long-term forecasting of El Niño events via dynamic factor simulations, Time series of count data: a review, empirical comparisons and data analysis, Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods, The stochastic conditional duration model: a latent variable model for the analysis of financial durations, Stochastic volatility duration models, On geometric ergodicity of skewed-SVCHARME models, Efficient importance sampling maximum likelihood estimation of stochastic differential equations, Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions, Bayesian variable selection for Poisson regression with underreported responses, Generalized dynamic panel data models with random effects for cross-section and time, On idiosyncratic stochasticity of financial leverage effects, Multivariate stochastic volatility with Bayesian dynamic linear models, An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data, A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Tailored randomized block MCMC methods with application to DSGE models, The computational cost of blocking for sampling discretely observed diffusions, An effcient exact Bayesian method for state space models with stochastic volatility, Parallel tempering for dynamic generalized linear models, Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations, Sequential Monte Carlo methods for stochastic volatility models: a review, Efficient Markov Chain Monte Carlo Methods for Decoding Neural Spike Trains, A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models, Simulation-Based Estimation Methods for Financial Time Series Models, Multivariate stochastic volatility, leverage and news impact surfaces, Multivariate Stochastic Volatility Model with Cross Leverage, ESTIMATION IN RICKER'S TWO-RELEASE METHOD: A BAYESIAN APPROACH, Stationary state space models for longitudinal data, Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Practical Filtering with Sequential Parameter Learning