## Abstract Recently, Fridman and Harris proposed a method which allows one to approximate the likelihood of the basic stochastic volatility model. They also propose to estimate the parameters of such a model maximising the approximate likelihood by an algorithm which makes use of numerical derivat
A latent process model for time series of attributed random graphs
β Scribed by N. H. Lee; C. E. Priebe
- Publisher
- Springer Netherlands
- Year
- 2011
- Tongue
- English
- Weight
- 520 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1387-0874
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper considers the problems of statistically analysing the levels of financial time series rather than their differences, which are often equivalent to returns and which are traditionally analysed in econometric modelling. This focus on differences is a consequence of the inherent nonstationar
A new technique for the latent state estimation of a wide class of nonlinear time series models is proposed. In particular, we develop a partially linearized sigma point filter in which random samples of possible state values are generated at the prediction step using an exact moment-matching algori