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  • Search: subject:"Markov-switching mulitfracted model"
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Year of publication
Subject
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Markov-switching mulitfracted model 2 forecasting of volatility 2 nonlinear filtering 2 partially observed Markov processes 2 state space models 2 Estimation 1 Forecasting model 1 Markov chain 1 Markov-Kette 1 Nichtlineare Regression 1 Nonlinear regression 1 Prognoseverfahren 1 Schätzung 1 State space model 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 Zustandsraummodell 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Lux, Thomas 2
Published in...
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Economics Working Paper 1 Economics working paper 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Inference for nonlinear state space models: A comparison of different methods applied to Markov-switching multifractal models
Lux, Thomas - 2018
Nonlinear, non-Gaussian state space models have found wide applications in many areas. Since such models usually do not allow for an analytical representation of their likelihood function, sequential Monte Carlo or particle filter methods are mostly applied to estimate their parameters. Since...
Persistent link: https://www.econbiz.de/10011891702
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Cover Image
Inference for nonlinear state space models : a comparison of different methods applied to Markov-switching multifractal models
Lux, Thomas - 2018
Nonlinear, non-Gaussian state space models have found wide applications in many areas. Since such models usually do not allow for an analytical representation of their likelihood function, sequential Monte Carlo or particle filter methods are mostly applied to estimate their parameters. Since...
Persistent link: https://www.econbiz.de/10011891373
Saved in:
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