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subject:"Time series analysis"
subject:"United States"
~accessRights:"free"
~language:"eng"
~person:"Martin, Gael M."
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Time series analysis
United States
Estimation theory
16
Schätztheorie
16
Bayes-Statistik
9
Bayesian inference
9
Zeitreihenanalyse
9
Bayesian consistency
3
Bias
3
Monte Carlo simulation
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Statistical theory
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Statistische Methodenlehre
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ARMA model
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Bayesian synthetic likelihood
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Bernstein-von Mises theorem
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Estimation
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Laplace approximation
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Volatility
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approximate Bayesian computation
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asymptotic properties
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conditional sum of squares
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Martin, Gael M.
Gao, Jiti
58
Phillips, Peter C. B.
49
Koopman, Siem Jan
37
Nielsen, Morten Ørregaard
25
Lütkepohl, Helmut
23
Johansen, Søren
21
Kapetanios, George
20
Sibbertsen, Philipp
20
Peng, Bin
19
Pesaran, M. Hashem
18
Swanson, Norman R.
18
Li, Degui
17
Nielsen, Bent
17
Audrino, Francesco
15
Cavaliere, Giuseppe
15
Dong, Chaohua
15
Linton, Oliver
15
Blasques, Francisco
14
Koop, Gary
13
Lucas, André
13
Rahbek, Anders
13
Hurvich, Clifford M.
12
Hyndman, Rob J.
12
Johansen, Soren
12
Kristensen, Dennis
12
Croux, Christophe
11
Giraitis, Liudas
11
Linton, Oliver B.
11
McAleer, Michael
11
Proietti, Tommaso
11
Taylor, Robert
11
Teräsvirta, Timo
11
Bailey, Natalia
10
Gorgi, Paolo
10
Hall, Alastair R.
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Schlicht, Ekkehart
10
Sun, Yixiao
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Inoue, Atsushi
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Working paper / Department of Econometrics and Business Statistics, Monash University
9
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ECONIS (ZBW)
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1
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
2
Optimal bias correction of the logperiodogram estimator of the fractional paramete : a Jackknife Approach
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2019
Persistent link: https://www.econbiz.de/10012592265
Saved in:
3
Issues in the estimation of mis-specified models of fractionally integrated processes
Martin, Gael M.
;
Nadarajah, K.
;
Poskitt, Donald Stephen
-
2018
Persistent link: https://www.econbiz.de/10012583573
Saved in:
4
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
5
Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2016
Persistent link: https://www.econbiz.de/10011781784
Saved in:
6
Issues in the estimation of mMis-specified models of fractionally integrated processes
Nadarajah, K.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
Persistent link: https://www.econbiz.de/10011780803
Saved in:
7
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2014
-
Revised 13, 29
Persistent link: https://www.econbiz.de/10011780804
Saved in:
8
Bias reduction of long memory parameter estimators via the pre-filtered Sieve bootstrap
Poskitt, Donald Stephen
;
Martin, Gael M.
;
Grose, Simone D.
-
2014
-
Rev. Ed.
Persistent link: https://www.econbiz.de/10010349989
Saved in:
9
Bias correction of persistence measures in fractionally integrated models
Grose, Simone D.
;
Martin, Gael M.
;
Poskitt, Donald Stephen
-
2013
Persistent link: https://www.econbiz.de/10010245441
Saved in:
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