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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/188200
Description: We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the es ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/147015
Description: Maximum likelihood estimates are obtained for long data sets of bivariate financial returns using mixing representation of the bivariate (skew) Variance Gamma (VG) and two (skew) t distributions. By a ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74198
Description: Discrete-time survival data typically possess three features: discreteness, ties, and concomitant information, which require appropriate discrete-time models to analyze. In this paper, we first review ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/23833
Description: We introduce and evaluate a block-iterative Fisher scoring (BFS) algorithm for emission tomography. Regularization is achieved by penalized likelihood with a general quadratic penalty. When the algori ... More
Full Text: Full Text
Reviewed: Reviewed
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