"Initial values in estimation procedures for State Space Models (SSMs)" by Raed Alzghool and Yan-Xia Lin

Faculty of Informatics - Papers (Archive)

Title

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

Authors

Raed Alzghool
Yan-Xia Lin, University of WollongongFollow

Document Type

Journal Article

RIS ID

43993

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.

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