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A Note on the Filtering for Some Time Series Models
Author(s) -
Peiris S.,
Thavaneswaran A.
Publication year - 2004
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2004.01898.x
Subject(s) - mathematics , martingale (probability theory) , series (stratigraphy) , nonlinear system , time series , stochastic volatility , econometrics , volatility (finance) , statistics , paleontology , physics , quantum mechanics , biology
. This paper is concerned with filtering for various types of time series models including the class of generalized ARCH models and stochastic volatility models. We extend the results of Thavaneswaran and Abraham (1988) for some time series models using martingale estimating functions. Nonlinear filtering for biostatistical time series models with censored observations is also discussed as a special case.