Introduction to state space time series analysis

• 10 June 2004
• book chapter
• Published by Cambridge University Press (CUP)
• p. 3-25
• https://doi.org/10.1017/cbo9780511617010.002

Abstract

Keywords

• SPLINE
• G
• MARKOV CHAIN MONTE CARLO
• KALMAN FILTER
• FINANCE AND INSURANCE
• RANDOM WALK
• S
• GIBBS SAMPLER
• KIM
• MAXIMUM LIKELIHOOD
• POISSON DISTRIBUTION
• FORECASTING
• GAMMA DISTRIBUTION
• J
• IMPORTANCE SAMPLING
• PARAMETER ESTIMATION
• STOCHASTIC VOLATILITY
• EM ALGORITHM
• REGRESSION MODEL
• STATE SPACE FORM