Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise

Signal Processing

Volumn 90, Issue 11, 2010, Pages 2947-2953

  Mousazadeh, Saman ^a   Cohen, Israel ^a  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

GARCH; Maximum likelihood; Noisy data; Parameter estimation; Recursive maximum likelihood

Indexed keywords

CONVENTIONAL METHODS; GARCH; GARCH MODELS; GARCH PROCESS; MODEL-BASED; NOISY DATA; NOISY ENVIRONMENT; SIGNAL PROCESSING APPLICATIONS; SIMULATION RESULT; SONAR SIGNAL PROCESSING;

ADDITIVE NOISE; ARCHES; MAXIMUM LIKELIHOOD ESTIMATION; METAL ANALYSIS; SIGNAL PROCESSING; SONAR; UNDERWATER ACOUSTICS;

PARAMETER ESTIMATION;

EID: 77955307256     PISSN: 01651684     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.sigpro.2010.04.020     Document Type: Article

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