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Initial values in estimation procedures for State Space Models (SSMs)

Conference Paper


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Abstract


  • In this paper, we will focus on State Space Models

    (SSMs), especially the stochastic volatility model, and look

    for a standard approach for assigning initial values in the

    Quasi-Likelihood (QL) and Asymptotic Quasi-Likelhood (AQL)

    estimation procedures.

Authors


Publication Date


  • 2011

Citation


  • Alzghool, R. & Lin, Y. (2011). Initial values in estimation procedures for State Space Models (SSMs). Proceedings of the World Congress on Engineering 2011, WCE 2011 (pp. 307-313). Hong Kong: IAENG.

Scopus Eid


  • 2-s2.0-80755143334

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2559&context=infopapers

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/1539

Has Global Citation Frequency


Start Page


  • 307

End Page


  • 313

Place Of Publication


  • Hong Kong

Abstract


  • In this paper, we will focus on State Space Models

    (SSMs), especially the stochastic volatility model, and look

    for a standard approach for assigning initial values in the

    Quasi-Likelihood (QL) and Asymptotic Quasi-Likelhood (AQL)

    estimation procedures.

Authors


Publication Date


  • 2011

Citation


  • Alzghool, R. & Lin, Y. (2011). Initial values in estimation procedures for State Space Models (SSMs). Proceedings of the World Congress on Engineering 2011, WCE 2011 (pp. 307-313). Hong Kong: IAENG.

Scopus Eid


  • 2-s2.0-80755143334

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=2559&context=infopapers

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/1539

Has Global Citation Frequency


Start Page


  • 307

End Page


  • 313

Place Of Publication


  • Hong Kong