Monte Carlo maximum likelihood estimation for generalized long-memory time series models
G. Mesters, S.J. Koopman and M. Ooms
| Year of publication: |
2016
|
|---|---|
| Authors: | Mesters, G. ; Koopman, Siem Jan ; Ooms, Marius |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 1/4, p. 659-687
|
| Subject: | Forecasting | Fractional integration | Importance sampling | Kalman filter | Latent factors | Stochastic volatility | Zeitreihenanalyse | Time series analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1031014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011550112