Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Year of publication: |
2014
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | Observation-driven models | stochastic recurrence equations | contraction conditions | invertibility | stationarity | ergodicity | generalized autoregressive score models | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
Extent: | Online-Ressource (29 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2014-074 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/107786 [Handle] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C12 - Hypothesis Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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Blasques, Francisco, (2014)
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Blasques, Francisco, (2014)
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Maximum likelihood estimation for generalized autoregressive score models
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