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  • Search: subject:"contraction conditions"
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Year of publication
Subject
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Observation-driven models 3 contraction conditions 3 ergodicity 3 generalized autoregressive score models 3 invertibility 3 stationarity 3 stochastic recurrence equations 3 Estimation theory 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Zeitreihenanalyse 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2 Undetermined 1
Author
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Blasques, Francisco 3 Koopman, Siem Jan 3 Lucas, André 2 Lucas, and André 1
Institution
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Tinbergen Instituut 1
Published in...
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Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, and André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010491303
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Cover Image
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10011272581
Saved in:
Cover Image
Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010364739
Saved in:
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