Likelihood analysis of non-Gaussian measurement time series

DOI10.1093/biomet/84.3.653zbMath0888.62095OpenAlexW2025262040MaRDI 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

zbMATH Keywords

importance samplingstochastic volatilityMarkov chain Monte Carloexponential familyblockingsimulation smoothing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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