Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

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Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

Electronic Journal of Statistics ◽

10.1214/12-ejs743 ◽

2012 ◽

Vol 6 (0) ◽

pp. 2185-2234 ◽

Author(s):

Eckhard Schlemm ◽

Robert Stelzer

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Mixing State ◽

Strongly Mixing ◽

Quasi Maximum Likelihood

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Maximum Likelihood estimation of state space models from frequency domain data

2007 European Control Conference (ECC) ◽

10.23919/ecc.2007.7068439 ◽

2007 ◽

Author(s):

Adrian Wills ◽

Brett Ninness ◽

Stuart Gibson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Frequency Domain ◽

Likelihood Estimation ◽

State Space Models

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Maximum Likelihood Estimation of State-Space Models

Springer Series in Statistics - An Introduction to Sequential Monte Carlo ◽

10.1007/978-3-030-47845-2_14 ◽

2020 ◽

pp. 251-277

Author(s):

Nicolas Chopin ◽

Omiros Papaspiliopoulos

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.2005.00422.x ◽

2005 ◽

Vol 26 (5) ◽

pp. 691-713 ◽

Author(s):

Henghsiu Tsai ◽

K. S. Chan

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Long Memory ◽

Likelihood Estimation ◽

Memory Processes ◽

Long Memory Processes ◽

Quasi Maximum Likelihood

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Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Journal of Time Series Analysis ◽

10.1111/jtsa.12571 ◽

2020 ◽

Author(s):

Adrian Pizzinga ◽

Marcelo Fernandes

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Invariance Property

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Maximum Likelihood Estimation of Parameters in State-Space Models

Modeling and Control of Economic Systems 2001 ◽

10.1016/b978-008043858-0/50018-8 ◽

2003 ◽

pp. 105-109

Author(s):

Jan Vlček

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Estimation Of Parameters

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Finite dimensional filters for maximum likelihood estimation of continuous-time linear Gaussian systems

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.649670 ◽

2002 ◽

Author(s):

R.J. Elliott ◽

V. Krishnamurthy

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Finite Dimensional ◽

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Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter

Journal of the American Statistical Association ◽

10.1080/01621459.1991.10475148 ◽

1991 ◽

Vol 86 (416) ◽

pp. 1024-1033 ◽

Author(s):

David S. Stoffer ◽

Kent D. Wall

Keyword(s):

Kalman Filter ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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Maximum Likelihood Estimation of State-Space Models

SSRN Electronic Journal ◽

10.2139/ssrn.2161561 ◽

2012 ◽

Author(s):

Florian Chevassu ◽

Juan-Pablo Ortega

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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Fast simulated annealing in Rd with an application to maximum likelihood estimation in state-space models

Stochastic Processes and their Applications ◽

10.1016/j.spa.2008.09.007 ◽

2009 ◽

Vol 119 (6) ◽

pp. 1912-1931 ◽

Author(s):

Sylvain Rubenthaler ◽

Tobias Rydén ◽

Magnus Wiktorsson

Keyword(s):

Simulated Annealing ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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