An algorithm for estimating parameters of state-space models
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- Lasse Bork, 2009.
"Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach,"
CREATES Research Papers
2009-11, Department of Economics and Business Economics, Aarhus University.
- Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Alonso, Andrés M. & García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2008. "Seasonal dynamic factor analysis and bootstrap inference : application to electricity market forecasting," DES - Working Papers. Statistics and Econometrics. WS ws081406, Universidad Carlos III de Madrid. Departamento de Estadística.
- Venter, J.H. & de Jongh, P.J., 2014. "Extended stochastic volatility models incorporating realised measures," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 687-707.
- Rainer Schulz & Hizir Sofyan & Axel Werwatz & Rodrigo Witzel, 2003. "Online Prediction of Berlin Single-Family House Prices," Computational Statistics, Springer, vol. 18(3), pages 449-462, September.
- repec:spr:stmapp:v:12:y:2003:i:1:d:10.1007_bf02511581 is not listed on IDEAS
- Giuseppe Storti & Alessandra Amendola, 2000. "A Non Linear Time Series Approach To Modelling Asymmetry In Stock Market Indexes," Computing in Economics and Finance 2000 97, Society for Computational Economics.
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KeywordsEM algorithm Kaiman filter Maximum likelihood Time series;
StatisticsAccess and download statistics
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