State space estimation for long memory AFRIMA-GARCH models

MaRDI QIDQ2916232zbMATH OpenFDO

Authors Lihong Wang, Chengzu Gu

Publication date 5 October 2012

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationmissing datastate space representation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• State space modeling of Gegenbauer processes with long memory
• State space modeling of long-memory processes
• A new nonlinear formulation for GARCH models
• scientific article; zbMATH DE number 2112533 (Why is no real title available?)

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