A class of non-Gaussian state space models with exact likelihood inference
Drew D. Creal
| Year of publication: |
October 2017
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|---|---|
| Authors: | Creal, Drew |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 4, p. 585-597
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| Subject: | Markov switching | State space models | Stochastic intensity | Stochastic volatility | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Theorie | Theory | Markov-Kette | Markov chain | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2015.1092977 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011893816