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

DOI10.1007/s11222-009-9149-4zbMath1274.62364OpenAlexW2162426180MaRDI QIDQ692952

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

information matrixKalman filtermaximum likelihoodGARCHparticle filterEM

Mathematics Subject Classification ID

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

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Periodically collapsing Evans bubbles and stock-price volatility ⋮ Structure detection and parameter estimation for NARX models in a unified EM framework

Cites Work

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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
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• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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