Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach

DOI10.1016/J.CAM.2018.05.036MaRDI QIDQ724486zbMATH OpenOpenAlexWikidataFDO

Authors Arezoo Hajrajabi, A. R. Yazdanian, Rahman Farnoosh

Publication date 26 July 2018

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2018.05.036

zbMATH Keywords

Bayesian estimationsemiparametric estimationsequential Monte Carlo filteringstochastic volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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• Particle Markov Chain Monte Carlo Methods
• Semiparametric estimation of regression functions in autoregressive models
• Some recent developments in stochastic volatility modelling
• Statistical inference in single-index and partially nonlinear models
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• The pseudo-marginal approach for efficient Monte Carlo computations

Cited in

(5)

• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations
• Application in stochastic volatility models of nonlinear regression with stochastic design
• Iterative parameter identification algorithms for transformed dynamic rational fraction input-output systems
• Nonlinear stochastic model for epidemic disease prediction by optimal filtering perspective

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