Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Year of publication: |
2011-06-27
|
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Authors: | Mesters, Geert ; Koopman, Siem Jan ; Ooms, Marius |
Institutions: | Tinbergen Institute |
Subject: | Fractional Integration | Importance Sampling | Kalman Filter | Latent Factors | Stochastic Volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 11-090/4 |
Classification: | C33 - Models with Panel Data ; C43 - Index Numbers and Aggregation |
Source: |
-
Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Mesters, Geert, (2011)
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Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
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