Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
Year of publication: |
2007
|
---|---|
Authors: | Vidoni, Paolo |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 8.2007, 2, p. 1213-1213
|
Publisher: |
Berkeley Electronic Press |
Subject: | ARCH model | EM algorithm | finite dimensional filter | recursive updating | SV model |
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