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A Note on the Filtering for Some Time Series Models

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  • S. Peiris
  • A. Thavaneswaran

Abstract

. This paper is concerned with filtering for various types of time series models including the class of generalized ARCH models and stochastic volatility models. We extend the results of Thavaneswaran and Abraham (1988) for some time series models using martingale estimating functions. Nonlinear filtering for biostatistical time series models with censored observations is also discussed as a special case.

Suggested Citation

  • S. Peiris & A. Thavaneswaran, 2004. "A Note on the Filtering for Some Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 397-407, May.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:3:p:397-407
    DOI: 10.1111/j.1467-9892.2004.01898.x
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    1. V. Godambe, 1999. "Linear Bayes and Optimal Estimation," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(2), pages 201-215, June.
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