Efficient estimation and filtering for multivariate jump-diffusions
François Guay, Gustavo Schwenkler
| Year of publication: |
2021
|
|---|---|
| Authors: | Guay, François ; Schwenkler, Gustavo |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 223.2021, 1, p. 251-275
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| Subject: | Density estimation | Efficiency | Filtering | Likelihood inference | Multivariate jump-diffusions | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Zustandsraummodell | State space model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619970