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Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

Author

Listed:
  • Durbin, J.
  • Koopman, S.J.M.

    (Tilburg University, Center For Economic Research)

Abstract

The analysis of non-Gaussian time series using state space models is considered from both classical and Bayesian perspectives. The treatment in both cases is based on simulation using importance sampling and antithetic variables; Monte Carlo Markov chain methods are not employed. Non-Gaussian disturbances for the state equation as well as for the observation equation are considered. Methods for estimating conditional and posterior means of functions of the state vector given the observations, and the mean square errors of their estimates, are developed. These methods are extended to cover the estimation of conditional and posterior densities and distribution functions. Choice of importance sampling densities and antithetic variables is discussed. The techniques work well in practice and are computationally effcient. Their use is illustrated by applying to a univariate discrete time series, a series with outliers and a volatility series.

Suggested Citation

  • Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Discussion Paper 1998-142, Tilburg University, Center for Economic Research.
  • Handle: RePEc:tiu:tiucen:6338af09-6f2c-46d0-985b-d85d089fbce3
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/530749/142.pdf
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    References listed on IDEAS

    as
    1. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 407-417, October.
    2. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
    3. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
    4. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 422-422, October.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Antithetic variables; Conditional and posterior statistics; Exponential family distributions; Heavy-tailed distributions; Importance sampling; Kalman filtering and smoothing; Monte Carlo simulation; Non-Gaussian time series models; Posterior distributions;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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