We consider likelihood inference and state estimation by means of importance sampling for state space models with a … and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …

time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has …

We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time … variation estimators. We use different simulation settings with changing noise as well as jump level in different price …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and …