Search Results - subject:"Parameter-driven"

Beyond location and dispersion models: The Generalized Structural Time Series Model with Applications

Djennad, Abdelmajid; Rigby, Robert; Stasinopoulos, Dimitrios - Volkswirtschaftliche Fakultät, … - 2015

propose a class of parameter-driven time series models referred to as the generalized structural time series (GEST) model. The …) expanding the systematic part of parameter-driven time series models to allow the joint and explicit modelling of all the …

Persistent link: https://www.econbiz.de/10011201261

Testing for parameter instability across different modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 223-246

Persistent link: https://www.econbiz.de/10011987424

Estimating stochastic volatility models using realized measures

Bekierman, Jeremias; Gribisch, Bastian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 279-300

Persistent link: https://www.econbiz.de/10011507527

Testing for Parameter Instability in Competing Modeling Frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

-local parameter driven time-variation. For parameter driven time variation close to the null or for infrequent structural changes, the …

Persistent link: https://www.econbiz.de/10010377214

Testing for Parameter Instability in Competing Modeling Frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - Tinbergen Instituut - 2014

-local parameter driven time-variation. For parameter driven time variation close to the null or for infrequent structural changes, the …

Persistent link: https://www.econbiz.de/10011255854

Testing for parameter instability in competing modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

nonlocal parameter driven time-variation. For parameter driven time variation close to the null or for infrequent structural …

Persistent link: https://www.econbiz.de/10010229896

Time Series of Count Data: Modelling and Estimation

Jung, Robert; Kukuk, Martin; Liesenfeld, Roman - 2005

serial correlation. Besides observation- and parameter-driven models based upon corresponding conditional Poisson … series of counts. For all models, we present appropriate efficient estimation procedures. For parameter-driven specifications …

Persistent link: https://www.econbiz.de/10010296244

Time Series of Count Data : Modelling and Estimation

Jung, Robert; Kukuk, Martin; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2005

Persistent link: https://www.econbiz.de/10005082836

A statistical framework for the analysis of multivariate infectious disease surveillance data

Held, Leonhard; Höhle, Michael; Hofmann, Mathias - 2004

A framework for the statistical analysis of counts from infectious disease surveillance database is proposed. In its simplest form, the model can be seen as a Poisson branching process model with immigration. Extensions to include seasonal effects, time trends and overdispersion are outlined....

Persistent link: https://www.econbiz.de/10010266152

Useful models for time series of counts or simply wrong ones?

Jung, Robert; Tremayne, A. - In: AStA Advances in Statistical Analysis 95 (2011) 1, pp. 59-91

Persistent link: https://www.econbiz.de/10008925208