Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Physical Sciences and Mathematics
Initial Values In Estimation Procedures For State Space Models (Ssms), Raed Alzghool, Yan-Xia Lin
Initial Values In Estimation Procedures For State Space Models (Ssms), Raed Alzghool, Yan-Xia Lin
Associate Professor Yan-Xia Lin
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.