Filtering With Heavy Tails
From MaRDI portal
Publication:4975563
Recommendations
- Filtering via estimating functions
- Robust filtration of random fields
- scientific article; zbMATH DE number 3965109
- Large Margin Filtering
- Outlier resistant filtering and smoothing
- Robust filtering
- Filtering With Uncertain Noise
- scientific article; zbMATH DE number 3912245
- Generic Weighted Filtering of Stochastic Signals
- Filtering via approximate Bayesian computation
Cites work
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Robust Statistics
- Robust estimation for ARMA models
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
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
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Time-series models with an EGB2 conditional distribution
- Bayesian log-linear beta-negative binomial integer-valued GARCH model
- Accelerating score-driven time series models
- Missing observations in observation-driven time series models
- Nonlinear autoregressive models with optimality properties
- 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
- Semiparametric score driven volatility models
- Outliers, structural shifts and heavy-tailed distributions in state space time series models
- Accounting for missing values in score-driven time-varying parameter models
- Time-varying transition probabilities for Markov regime switching 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
This page was built for publication: Filtering With Heavy Tails
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4975563)
