Browsing Department of Pure Mathematics and Mathematical Statistics (DPMMS) by Subject "Parameter estimation"

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  • Maximum likelihood parameter estimation in time series models using sequential Monte Carlo 

    Yildirim, Sinan (University of CambridgeDepartment of Pure Mathematics and Mathematical StatisticsStatistical LaboratoryDarwin College, 2013-06-11)
    Time series models are used to characterise uncertainty in many real-world dynamical phenomena. A time series model typically contains a static variable, called parameter, which parametrizes the joint law of the random ...