Filtering With Heavy Tails
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Publication:4975563
DOI10.1080/01621459.2014.887011zbMATH Open1368.62251OpenAlexW2002859899MaRDI QIDQ4975563FDOQ4975563
Authors:
Publication date: 7 August 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2014.887011
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Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Robust Statistics
- Robust estimation for ARMA models
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
Cited In (31)
- Signal smoothing for score-driven models: a linear approach
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- Bayesian log-linear beta-negative binomial integer-valued GARCH model
- Time-series models with an EGB2 conditional distribution
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Accelerating score-driven time series models
- Nonlinear autoregressive models with optimality properties
- Missing observations in observation-driven time series models
- Maximum likelihood estimation for score-driven models
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Score-Driven Modeling of Spatio-Temporal Data
- A robust score-driven filter for multivariate time series
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
- Robust statistics: a selective overview and new directions
- A coupled component DCS-EGARCH model for intraday and overnight volatility
- Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
- Observation-driven filtering of time-varying parameters using moment conditions
- Modeling and Forecasting Macroeconomic Downside Risk
- Identification of seasonal effects in impulse responses using score-driven multivariate location models
- Spillover dynamics for systemic risk measurement using spatial financial time series models
- SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
- Outliers, structural shifts and heavy-tailed distributions in state space time series models
- Semiparametric score driven volatility models
- Time-varying transition probabilities for Markov regime switching models
- Accounting for missing values in score-driven time-varying parameter models
- Multivariate Markov-switching score-driven models: an application to the global crude oil market
- A robust Beveridge-Nelson decomposition using a score-driven approach with an application
- Distributed maximum correntropy unscented Kalman filtering with state equality constraints
- Robust estimation of linear state space models
- A stochastic recurrence equations approach for score driven correlation models
Uses Software
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