State Space and Unobserved Component Models

DOI10.1017/CBO9780511617010MaRDI QIDQ4830106zbMATH OpenOpenAlexFDO

Authors

Publication date 3 December 2004

Full work available at URL https://doi.org/10.1017/cbo9780511617010

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cited in

(5)

• Decomposition of neurological multivariate time series by state space modelling
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
• A Monte Carlo method for filtering a marked doubly stochastic Poisson process
• State space modeling \& Bayesian inference with computational intelligence
• Optimal signal extraction with correlated components

Describes a project that uses

Uses Software

• S+FinMetrics

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