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A Simple and Efficient Simulation Smoother for State Space Time Series Analysis

✍ Scribed by J. Durbin and S. J. Koopman

Book ID
124307613
Publisher
Oxford University Press
Year
2002
Tongue
English
Weight
346 KB
Volume
89
Category
Article
ISSN
0006-3444

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The application of recurrence quantification analysis (RQA) and state space divergence reconstruction for the analysis of financial time series in terms of cross-correlation and forecasting is illustrated using high-frequency time series and random heavy-tailed data sets. The results indicate that t