A stable estimator of the information matrix under EM for dependent data

DOI10.1007/S11222-009-9149-4zbMATHOpenAlexMaRDI QIDQ692952FDO

Authors Andras Fulop, Jin-Chuan Duan

Publication date 6 December 2012

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-009-9149-4

zbMATH Keywords

Kalman filtermaximum likelihoodGARCHparticle filterinformation matrixEM

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Sequential Monte Carlo Methods in Practice
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models

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