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Likelihood functions for state space models with diffuse initial conditions

Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008

Persistent link: https://www.econbiz.de/10003706020

A multivariate asymmetric long memory conditional volatility model with X, regularity and asymptotics

Asai, Manabu; McAleer, Michael - 2016

theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical … regularity conditions, and associated asymptotic theory. Therefore, the derivation of a multivariate conditional volatility model … with exogenous variables (X) that has regularity conditions and asymptotic theory would seem to be a significant extension …

Persistent link: https://www.econbiz.de/10011531101

Commuters' preferences for fast and reliable travel

Koster, Paul; Koster, Hans - 2013

Persistent link: https://www.econbiz.de/10010191398

Monte Carlo maximum likelihood estimation for generalized long-memory time series models

Mesters, G.; Koopman, Siem Jan; Ooms, Marius - 2011

Persistent link: https://www.econbiz.de/10009720782

Fast efficient importance sampling by state space methods

Koopman, Siem Jan; Nguyen, Thuy Minh - 2012

Persistent link: https://www.econbiz.de/10009722707

Robust estimation and forecasting of the capital asset pricing model

Bian, Guorui; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10009724796

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681

Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2011

Persistent link: https://www.econbiz.de/10008938571

Mixed density based copula likelihood

Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a simulation that our methodology performs similar to the...

Persistent link: https://www.econbiz.de/10010464789

Dynamic factor analysis in the presence of missing data

Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - 2009

Persistent link: https://www.econbiz.de/10003813787