Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions-Reference-Cited by-同舟云学术

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Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

Published:2024-01 Issue:1 Volume:238 Page:105575
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Blasques Francisco,van Brummelen Janneke,Gorgi Paolo,Koopman Siem Jan

Funder

Nederlandse Organisatie voor Wetenschappelijk Onderzoek

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference40 articles.

1. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’;Beveridge;Journal of Monetary Economics,1981

2. Maximum likelihood estimation for score-driven models;Blasques;Journal of Econometrics,2022

3. Feasible invertibility conditions and maximum likelihood estimation for observation-driven models;Blasques;Electronic Journal of Statistics,2018

4. Kalman filtering with random coefficients and contractions;Bougerol;SIAM Journal on Control and Optimization,1993

5. Time Series Analysis: Forecasting and Control;Box,1970

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1. Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality;Econometrics;2024-09-04

2. A robust Beveridge–Nelson decomposition using a score-driven approach with an application;Economics Letters;2024-03

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