Maximum likelihood estimation for score-driven models
Francisco Blasques, Janneke van Brummelen, Siem Jan Koopman, André Lucas
| Year of publication: |
2022
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|---|---|
| Authors: | Blasques, Francisco ; Brummelen, Janneke van ; Koopman, Siem Jan ; Lucas, André |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 2, p. 325-346
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| Subject: | Time-varying parameters | Markov processes | Stationarity | Invertibility | Consistency | Asymptotic normality | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013442028