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Likelihood-based Analysis of a Class of Generalized Long-Memory Time Series Models

โœ Scribed by A. E. Brockwell


Book ID
111040011
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
933 KB
Volume
28
Category
Article
ISSN
0143-9782

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State-space models with exponential and conjugate exponential family densities are introduced. Examples include Poisson-Gamma, Binomial-Beta, Gamma-Gamma and Normal-Normal processes. Maximum likelihood and quasilikelihood estimators and their properties are discussed. Results from a simulation study