A simulation smoother for long memory time series with correlated and heteroskedastic additive noise

DOI10.1080/03610918.2018.1554120MaRDI QIDQ5083988zbMATH OpenOpenAlexWikidataFDO

Authors Manabu Asai, Mike K. P. So

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1554120

zbMATH Keywords

filteringKalman filterlong memorysimulation smootherstate space modelsstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Adaptive proposal distribution for random walk Metropolis algorithm
• An adaptive Metropolis algorithm
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Delayed rejection in reversible jump Metropolis-Hastings.
• Miscellanea. Time series with additive noise
• On Gibbs sampling for state space models
• On Metropolis-Hastings algorithms with delayed rejection
• Realized stochastic volatility with leverage and long memory
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The simulation smoother for time series models

Cited in

(2)

• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Miscellanea. Time series with additive noise

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