A Note on the Filtering for Some Time Series Models |
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| Authors: | S. Peiris A. Thavaneswaran |
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| Affiliation: | University of Sydney,;University of Manitoba |
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| Abstract: | Abstract. This paper is concerned with filtering for various types of time series models including the class of generalized ARCH models and stochastic volatility models. We extend the results of Thavaneswaran and Abraham (1988) for some time series models using martingale estimating functions. Nonlinear filtering for biostatistical time series models with censored observations is also discussed as a special case. |
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| Keywords: | Time series censored observations filtering recursive correlation biostatistics Kalman filter volatility |
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