Exact score for time series models in state space form

Exact score for time series models in state space form

Εμφάνιση άλλων εκδόσεων (1)

This paper shows that the score vector for Gaussian state space models takes on a simple form which can be computed in a single pass of the Kalman filter and a smoother.

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς:	Koopman, S, Shephard, N
Μορφή:	Journal article
Γλώσσα:	English
Έκδοση:	Biometrika Trust 1992
Θέματα:	Economics Econometrics

Παρόμοια τεκμήρια

Exact score for time series models in state space form
ανά: Shephard, N, κ.ά.
Έκδοση: (1992)

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
ανά: Bos, C, κ.ά.
Έκδοση: (2006)

Statistical algorithms for models in state space form using SsfPack 2.2
ανά: Koopman, S, κ.ά.
Έκδοση: (1999)

Detecting shocks: outliers and breaks in time series
ανά: Atkinson, A, κ.ά.
Έκδοση: (1997)

Local scale models: state space alternative to integrated GARCH processes
ανά: Shephard, N
Έκδοση: (1994)

Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
ανά: Pitt, M, κ.ά.
Έκδοση: (1999)

Power variation and time change
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Distribution of the ML estimator of a MA (1) and a local level model
ανά: Shephard, N
Έκδοση: (1993)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2005)

Dynamics of trade-by-trade price movements: decomposition and models
ανά: Rydberg, T, κ.ά.
Έκδοση: (2003)

On the probability of estimating a deterministic component in the local level model
ανά: Harvey, A, κ.ά.
Έκδοση: (1990)

Realised power variation and stochastic volatility models
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2003)

Markov chain Monte Carlo methods for stochastic volatility models
ανά: Chib, S, κ.ά.
Έκδοση: (2002)

Essays on multivariate volatility and dependence models for financial time series
ανά: Noureldin, D
Έκδοση: (2011)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2003)

From characteristic function to distribution function: a simple framework for the theory
ανά: Shephard, N
Έκδοση: (1991)

Simulation-based likelihood inference for limited dependent processes
ανά: Manrique, A, κ.ά.
Έκδοση: (1998)

Forecasting economic time series /
ανά: 350956 Clements, Michael, κ.ά.
Έκδοση: (1998)

Likelihood inference for discretely observed non-linear diffusions
ανά: Elerian, O, κ.ά.
Έκδοση: (2001)

Estimating quadratic variation using realized variance
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2002)

Power and bipower variation with stochastic volatility and jumps
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2004)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2004)

Power variation and stochastic volatility: a review and some new results
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2004)

Parallel computation in econometrics: a simplified approach
ανά: Doornik, J, κ.ά.
Έκδοση: (2006)

Likelihood-based estimation of latent generalised ARCH structures
ανά: Fiorentini, G, κ.ά.
Έκδοση: (2004)

Computationally-intensive econometrics using a distributed matrix-programming language
ανά: Doornik, J, κ.ά.
Έκδοση: (2002)

Asymptotic analysis of the 1-step recursive Chow test (and variants) in time series model
ανά: Whitby, A, κ.ά.
Έκδοση: (2013)

Topics in advanced econometrics : estimation, testing, and specification of cross-section and time series models /
ανά: Bierens, Herman J., 1943-
Έκδοση: (1994)

Time series and dynamic models /
ανά: Gourieroux, Christian, 1949-, κ.ά.
Έκδοση: (1997)

Limit theorems for bipower variations in financial econometrics
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2006)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2001)

The structural econometric time series analysis approach /
ανά: Zellner, Arnold, κ.ά.
Έκδοση: (2004)

Econometrics of testing for jumps in financial economics using bipower variation
ανά: Barndorff-Nielsen, O, κ.ά.
Έκδοση: (2005)

Econometric modeling and inference /
ανά: 285891 Florens, J. P., κ.ά.
Έκδοση: (2007)

Periodic time series models /
ανά: Franses, Philip Hans, 1963-, κ.ά.
Έκδοση: (2004)

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
ανά: Bos, C, κ.ά.
Έκδοση: (2006)

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
ανά: Bos, C, κ.ά.
Έκδοση: (2004)

Sub-sample model selection procedures in general-to-specific modelling
ανά: Hendry, D, κ.ά.
Έκδοση: (2004)

Handbook of computrational econometrics /
ανά: 315105 Belsley, David A., κ.ά.
Έκδοση: (2009)

Partial non-Gaussian time series models
ανά: Shephard, N
Έκδοση: (1994)