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

Authors

Raed Alzghool, Al-Balqa Applied University
Yan-Xia Lin, University of WollongongFollow

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.

Link to publisher version (URL)

World Congress on Engineering