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Article
Initial values in estimation procedures for State Space Models (SSMs)
Faculty of Informatics - Papers (Archive)
  • Raed Alzghool, Al-Balqa Applied University
  • Yan-Xia Lin, University of Wollongong
RIS ID
43993
Publication Date
1-1-2011
Publication Details

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.

Abstract

In this paper, we will focus on State Space Models(SSMs), especially the stochastic volatility model, and lookfor a standard approach for assigning initial values in theQuasi-Likelihood (QL) and Asymptotic Quasi-Likelhood (AQL)estimation procedures.

Link to publisher version (URL)
World Congress on Engineering
Citation Information
Raed Alzghool and Yan-Xia Lin. "Initial values in estimation procedures for State Space Models (SSMs)" (2011) p. 307 - 313
Available at: http://works.bepress.com/yan-xia_lin/8/