Score-driven time-varying parameter models with spline-based densities

DOI10.1007/S11222-026-10840-WMaRDI QIDQ6834602zbMATH OpenFDO

Authors Janneke van Brummelen, Paolo Gorgi, Siem Jan Koopman

Publication date 31 March 2026

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11222-026-10840-W

zbMATH Keywords

consistencylocation modelmaximum likelihood estimationnatural cubic splinevolatility model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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