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Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - 1998
Persistent link: https://www.econbiz.de/10000167948
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The modelling and seasonal adjustment of weekly observations
Harvey, Andrew C.; Koopman, Siem Jan; Riani, Marco - 1995
Persistent link: https://www.econbiz.de/10000906280
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Maximum likelihood estimation of stochastic volatility models
Sandmann, Gleb; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000953379
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Messy time series : a unified approach
Harvey, Andrew C.; Koopman, Siem Jan; Penzer, Jeremy - 1997
Persistent link: https://www.econbiz.de/10000960677
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Fast filtering and smoothing for multivariate state space models
Koopman, Siem Jan; Durbin, James - 1998
Persistent link: https://www.econbiz.de/10000981433
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Diagnostic checking of unobserved components : time series models
Harvey, Andrew C.; Koopman, Siem Jan - 1992
Persistent link: https://www.econbiz.de/10000830094
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Exact score for time series models in state space form
Koopman, Siem Jan; Shephard, Neil G. - 1992
Persistent link: https://www.econbiz.de/10000837992
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Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives
Durbin, James; Koopman, Siem Jan - 1998
Persistent link: https://www.econbiz.de/10000998337
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Messy time series : a unified approach
Harvey, Andrew C.; Koopman, Siem Jan; Penzer, Jeremy - 1998
Persistent link: https://www.econbiz.de/10001362820
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Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb - In: Journal of econometrics 87 (1998) 2, pp. 271-301
Persistent link: https://www.econbiz.de/10001246644