The asymptotic convexity of the negative likelihood function of GARCH models.
Wai-Cheung IpHeung WongJiazhu PanD. F. LiPublished in: Comput. Stat. Data Anal. (2006)
Keyphrases
- likelihood function
- garch model
- maximum likelihood
- em algorithm
- particle filter
- posterior probability
- gaussian process
- model selection
- stock market
- expectation maximization
- generative model
- parameter space
- multivariate time series
- machine learning
- sar images
- clustering algorithm
- regression model
- state space
- probabilistic model
- long term