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Télécharger le livre : The SIML Filtering Method for Noisy Non-stationary Economic Time Series
Naoto Kunitomo , Seisho Sato
The SIML Filtering Method for Noisy Non-stationary Economic Time Series
In this book, we explain the development of a new filtering method to estimate the hidden states of random variables for multiple non-stationary time series data. This method is particularly helpful in analyzing small-sample non-stationary macro-economic time series....
Editeur : Springer
Parution : 2025-03-03

Format(s) : PDF, ePub
52,74 €
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Télécharger le livre : Separating Information Maximum Likelihood Method for High-Frequency Financial Data
Naoto Kunitomo , Daisuke Kurisu , Seisho Sato
Separating Information Maximum Likelihood Method for High-Frequency Financial Data
This book presents a systematic explanation of the SIML (Separating Information Maximum Likelihood) method, a new approach to financial econometrics.Considerable interest has been given to the estimation problem of integrated volatility and covariance by using...
Editeur : Springer
Parution : 2018-06-14
Collection : SpringerBriefs in Statistics
Format(s) : PDF
58,01 €
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