Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
نویسندگان
چکیده
منابع مشابه
Time series models with a common stochastic variance for analysing economic time series
The linear Gaussian state space model for which the common variance is treated as a stochastic time-varying variable is considered for the modelling of economic time series. The focus of this paper is on the simultaneous estimation of parameters related to the stochastic processes of the mean part and the variance part of the model. The estimation method is based on maximum likelihood and it re...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.356261