Similar Search Results

Monte Carlo smoothing for nonlinear time series

Godsill, Simon J.; Doucet, Arnaud; West, Mike - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 156-168

Persistent link: https://www.econbiz.de/10002029615

Prediction of cyclic and trend frequencies in time series using the Hilbert-Huang transform

Christensen, Hugh L.; Godsill, Simon J. - In: International journal of computational economics and … 4 (2014) 3/4, pp. 372-412

Persistent link: https://www.econbiz.de/10010496410

Robust inference on parameters via particle filters and sandwich covariance matrices

Doucet, Arnaud; Shephard, Neil G. - 2012

Persistent link: https://www.econbiz.de/10009579335

Robust inference on parameters via particle filters and sandwich covariance matrices

Doucet, Arnaud; Shephard, Neil G. - 2012

Persistent link: https://www.econbiz.de/10009579539

Calibration and Filtering for Multi Factor Commodity Models with Seasonality : Incorporating Panel Data from Futures Contracts

Peters, Gareth - 2014

We construct a general multi-factor model for estimation and calibration of commodity spot prices and futures valuation. This extends the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long and short term dynamic...

Persistent link: https://www.econbiz.de/10013043331