Hybrid multi-step estimation of the volatility for stochastic regression models

MaRDI QIDQ4559871zbMATH OpenFDO

Authors Kengo Kamatani, Akihiro Nogita, Masayuki Uchida

Publication date 4 December 2018

zbMATH Keywords

diffusion processconvergence of momentsasymptotic mixed normalityBayes type estimatordiscrete time observationsmaximum likelihood type estimator

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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• Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution

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