Non‐Gaussian Filter and Smoother Based on the Pearson Distribution System

DOI10.1111/j.1467-9892.2003.00331.xzbMath1052.60032OpenAlexW2109869028MaRDI QIDQ4828165

Yuichi Nagahara

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2003.00331.x

zbMATH Keywords

stochastic volatility modelgeneral state space modelPearson distribution systemnon-Gaussian filter

Mathematics Subject Classification ID

Related Items (3)

A method of calculating the downside risk by multivariate nonnormal distributions ⋮ A method of simulating multivariate nonnormal distributions by the Pearson distribution system and estimation ⋮ Comparison of the alternative parameter estimators of Pearson distributions by robustness criteria

Uses Software

• RiskMetrics

Cites Work

• On an integrated approach to member selection and parameter estimation for Pearson distributions
• The PDF and CF of Pearson type IV distributions and the ML estimation of the parameters
• Multivariate Stochastic Variance Models

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