Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori, and Sylvia Früwirth-Scnatter
| Year of publication: |
2009
|
|---|---|
| Authors: | Nakajima, Jouchi ; Kunihama, Tsuyoshi ; Omori, Yasuhiro ; Früwirth-Scnatter, Sylvia |
| Publisher: |
Tokyo : Inst. for Monetary and Economic Studies, Bank of Japan |
| Subject: | Ausreißer | Outliers | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Kointegration | Cointegration | Zustandsraummodell | State space model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Japan | 1990-2007 |
| Extent: | 36 S. graph. Darst. |
|---|---|
| Series: | IMES discussion paper series. - Tokyo : Inst., ZDB-ID 1480668-X. - Vol. 2009,32 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003908068