A Note on the Filtering for Some Time Series Models

This paper is concerned with filtering for various types of time series models including the class of generalized ARCH models and stochastic volatility models. We extend the results of Thavaneswaran and Abraham (1988) for some time series models using martingale estimating functions. Nonlinear filtering for biostatistical time series models with censored observations is also discussed as a special case

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Year of publication:	2004
Authors:	Peiris, Shelton ; Thavaneswaran, A.
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014071721