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pro vyhledávání: '"Siem Jan Koopman"'
Autor:
Charles S. Bos, Siem Jan Koopman
Publikováno v:
Journal of Business and Economic Statistics, 22(3), 346-357. American Statistical Association
Koopman, S J & Bos, C S 2004, ' State space models with a common stochastic variance ', Journal of Business and Economic Statistics, vol. 22, no. 3, pp. 346-357 . https://doi.org/10.1198/073500104000000190
Koopman, S J & Bos, C S 2004, ' State space models with a common stochastic variance ', Journal of Business and Economic Statistics, vol. 22, no. 3, pp. 346-357 . https://doi.org/10.1198/073500104000000190
This article considers a combination of the linear Gaussian state space model and the stochastic volatility model. The focus is on the simultaneous estimation of parameters related to the stochastic processes of both the mean and variance parts of th