Search Results - subject:"observation driven models"

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - Økonomisk Institut, Københavns Universitet - 2008

, observation driven models, asymptotic theory. 1 Introduction In this paper we study ergodicity and likelihood inference for a … observation driven models as defined by Cox (1981). This is so because the unobserved process ‚t can be expressed as a function of … past values of the observed process Yt, after repeated substitution. Observation driven models for time series of counts …

Persistent link: https://www.econbiz.de/10005749517

Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator

Douc, R.; Doukhan, P.; Moulines, E. - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2620-2647

This paper deals with a general class of observation-driven time series models with a special focus on time series of counts. We provide conditions under which there exist strict-sense stationary and ergodic versions of such processes. The consistency of the maximum likelihood estimators is then...

Persistent link: https://www.econbiz.de/10010875058

Alternative distributions for observation driven count series models

Drescher, Daniel - 2005

Observation-driven models provide a flexible framework for modelling time series of counts. They are able to capture a … maximum likelihood estimation for observation-driven models with generalized distributions is presented in this paper. …

Persistent link: https://www.econbiz.de/10010296247

Alternative distributions for observation driven count series models

Drescher, Daniel - Institut für Volkswirtschaftslehre, … - 2005

Persistent link: https://www.econbiz.de/10005082878

The conditional autoregressive Wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of Econometrics 167 (2012) 1, pp. 211-223

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes an autoregressive moving average structure for the scale matrix of the Wishart distribution. It accounts for positive definiteness of covariance...

Persistent link: https://www.econbiz.de/10010574098