Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Francisco Blasques, Janneke van Brummelen, Paolo Gorgi, Siem Jan Koopman
| Year of publication: |
2024
|
|---|---|
| Authors: | Blasques, Francisco ; Brummelen, Janneke van ; Gorgi, Paolo ; Koopman, Siem Jan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 238.2024, 1, Art.-No. 105575, p. 1-22
|
| Subject: | Asymmetric and heavy-tailed distributions | Asymptotic normality | Consistency | Invertibility | Robust filter | Time-varying parameters | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.105575 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015073825