-
2
-
-
0040043926
-
Improved quasi-maximum likelihood estimation for stochastic volatility models
-
(Edited by A. Zellner and J. S. Lee). Springer, New York
-
Breidt, F. J. and Carriquiry, A. L. (1996). Improved quasi-maximum likelihood estimation for stochastic volatility models. In Modeling and Prediction: Honouring Seymour Geisser (Edited by A. Zellner and J. S. Lee). Springer, New York.
-
(1996)
Modeling and Prediction: Honouring Seymour Geisser
-
-
Breidt, F.J.1
Carriquiry, A.L.2
-
5
-
-
21344478694
-
Time series regression for counts: An investigation into the relationship between sudden infant death syndrome and environmental temperature
-
Campbell, M. J. (1994). Time series regression for counts: an investigation into the relationship between sudden infant death syndrome and environmental temperature. J. R. Statist. Soc. Ser. A 157, 191-208.
-
(1994)
J. R. Statist. Soc. Ser. A
, vol.157
, pp. 191-208
-
-
Campbell, M.J.1
-
6
-
-
21844487061
-
Monte Carlo EM estimation for time series models involving counts
-
Chan, K. S. and Ledolter, J. (1995). Monte Carlo EM estimation for time series models involving counts. J. Amer. Statist. Assoc. 90, 242-252.
-
(1995)
J. Amer. Statist. Assoc.
, vol.90
, pp. 242-252
-
-
Chan, K.S.1
Ledolter, J.2
-
7
-
-
0002790886
-
Modelling time series of count data
-
(Edited by S. Ghosh). Marcel Dekker, New York
-
Davis, R. A., Dunsmuir, W. T. M. and Wang, Y. (1998). Modelling time series of count data. In Asymptotics, Nonparametrics and Time Series (Edited by S. Ghosh), 63-112. Marcel Dekker, New York.
-
(1998)
Asymptotics, Nonparametrics and Time Series
, pp. 63-112
-
-
Davis, R.A.1
Dunsmuir, W.T.M.2
Wang, Y.3
-
8
-
-
0000094018
-
Monte Carlo maximum likelihood estimation for non-Gaussian state space models
-
Durbin, J. and Koopman, S. J. (1997). Monte Carlo maximum likelihood estimation for non-Gaussian state space models. Biometrika 84, 669-684.
-
(1997)
Biometrika
, vol.84
, pp. 669-684
-
-
Durbin, J.1
Koopman, S.J.2
-
11
-
-
0000089072
-
On Markov chain Monte Carlo methods for nonlinear and non-Gaussian state-space models
-
Geweke, J. and Tanizaki, H. (1999). On Markov chain Monte Carlo methods for nonlinear and non-Gaussian state-space models. Comm. Statist. Simulation Comput. 28, 867-894.
-
(1999)
Comm. Statist. Simulation Comput.
, vol.28
, pp. 867-894
-
-
Geweke, J.1
Tanizaki, H.2
-
12
-
-
0000247137
-
Estimation and optimization of functions
-
(Edited by W. R. Gilks, S. Richardson and D. J. Spiegelhalter). Chapman and Hall, London
-
Geyer, C. J. (1996). Estimation and optimization of functions. In Markov Chain Monte Carlo in Practice (Edited by W. R. Gilks, S. Richardson and D. J. Spiegelhalter), 89-114. Chapman and Hall, London.
-
(1996)
Markov Chain Monte Carlo in Practice
, pp. 89-114
-
-
Geyer, C.J.1
-
14
-
-
84952527343
-
Time series models for count or qualitative observations
-
Harvey, A. C. and Fernandes, C. (1989). Time series models for count or qualitative observations. J. Amer. Statist. Assoc. 7, 407-417.
-
(1989)
J. Amer. Statist. Assoc.
, vol.7
, pp. 407-417
-
-
Harvey, A.C.1
Fernandes, C.2
-
15
-
-
0347483269
-
Testing for a slowly changing level with special reference to stochastic volatility
-
Harvey, A. C. and Streibel, M. (1998). Testing for a slowly changing level with special reference to stochastic volatility. J. Econometrics 87, 167-189.
-
(1998)
J. Econometrics
, vol.87
, pp. 167-189
-
-
Harvey, A.C.1
Streibel, M.2
-
17
-
-
84962984403
-
Multivariate stochastic variance models
-
Harvey, A. C., Ruiz, E. and Shepard, N. (1994). Multivariate stochastic variance models. Rev. Econom. Stud. 61, 247-264.
-
(1994)
Rev. Econom. Stud.
, vol.61
, pp. 247-264
-
-
Harvey, A.C.1
Ruiz, E.2
Shepard, N.3
-
18
-
-
84952181953
-
Bayesian analysis of stochastic volatility models
-
Jacquier, E., Polson, N. G. and Rossi, P. E. (1994). Bayesian analysis of stochastic volatility models (with discussion). J. Bus. Econom. Statist. 12, 371-417.
-
(1994)
J. Bus. Econom. Statist.
, vol.12
, pp. 371-417
-
-
Jacquier, E.1
Polson, N.G.2
Rossi, P.E.3
-
20
-
-
0033572985
-
The use of approximating models in Monte Carlo maximum likelihood estimation
-
Kuk, A. Y. (1999). The use of approximating models in Monte Carlo maximum likelihood estimation. Statist. Probab. Lett. 45, 325-333.
-
(1999)
Statist. Probab. Lett.
, vol.45
, pp. 325-333
-
-
Kuk, A.Y.1
-
22
-
-
1542427941
-
Filtering via simulation: Auxiliary particle filters
-
Pitt, M. K and Shepard N. (1999). Filtering via simulation: auxiliary particle filters. J. Amer. Statist. Assoc. 94, 590-599.
-
(1999)
J. Amer. Statist. Assoc.
, vol.94
, pp. 590-599
-
-
Pitt, M.K.1
Shepard, N.2
-
23
-
-
0000254890
-
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
-
Sandmann, G. and Koopman, S. J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood. J. Econometrics 87, 271-301.
-
(1998)
J. Econometrics
, vol.87
, pp. 271-301
-
-
Sandmann, G.1
Koopman, S.J.2
-
24
-
-
0011520418
-
Bootstrapping state-space models: Gaussian maximum likelihood and the Kalman filter
-
Stoffer, D. S. and Wall, K. D. (1991). Bootstrapping state-space models: Gaussian maximum likelihood and the Kalman filter. J. Amer. Statist. Assoc. 86, 1024-1032.
-
(1991)
J. Amer. Statist. Assoc.
, vol.86
, pp. 1024-1032
-
-
Stoffer, D.S.1
Wall, K.D.2
-
25
-
-
0013136164
-
A regresion model for time series of counts
-
Zeger, S. L. (1988). A regresion model for time series of counts. Biometrika 75, 621-629.
-
(1988)
Biometrika
, vol.75
, pp. 621-629
-
-
Zeger, S.L.1
|