Efficient Estimation of the Parameter Path in Unstable Time Series Models

By Ulrich K. Müller, Philippe-Emmanuel Petalas. 2010

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7d43ecd9419678b8b6bcda27c939c06237c64d33

Citations in the corpus

• Non‐parametric detection and estimation of structural change (2012, unknown): “An exception is the procedure of Müller and Petalas (2010); they however restrict themselves to moderate time-variations such that the magnitude of the instability decreases as the sample size increases.”
• Information Theoretic Optimality of Observation Driven Time Series Models (2014, unknown): “For example, Masreliez (1975), Durbin and Koopman (1997) and Müller and Petalas (2010) motivate the use of the score for filtering based on a Laplace approximation of the postulated parametric observation density in the state space framework.”