The estimation of a state space model by estimating functions with an application

DOI10.1111/J.1467-9574.2004.00268.XMaRDI QIDQ4665350zbMATH OpenOpenAlexFDO

Authors Demetrios Papanastassiou, Demetrios Ioannides

Publication date 11 April 2005

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.2004.00268.x

zbMATH Keywords

estimating functionsextended Kalman filterstochastic volatilitytables

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An extension of quasi-likelihood estimation
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 52648 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• On spaces of estimating functions
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Time series analysis by state space methods

Cited in

(17)

• A standard error for the estimated state vector of a state-space model
• Bayesian estimation of state space models using moment conditions
• Proper dispersion state space models for stochastic volatility
• A flexible state space model and its applications
• Applying the amendatory method of the state space model to the exchange rate market -- NT dollars against US dollars
• Parameters estimation for SSMs: QL and AQL approaches
• Stationary state space models for longitudinal data
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• scientific article; zbMATH DE number 1215447 (Why is no real title available?)
• scientific article; zbMATH DE number 1222311 (Why is no real title available?)
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Efficient estimation of conditionally linear and Gaussian state space models
• scientific article; zbMATH DE number 1398561 (Why is no real title available?)
• The role of additional information in option pricing: estimation issues for the state space model
• Stochastic volatility generated by product autoregressive models
• Analysis, detection and correction of misspecified discrete time state space models
• Parameter estimation of state space models for univariate observations

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