英文标题：
《An Alternative Estimation Method of a Time-Varying Parameter Model》
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作者：
Mikio Ito, Akihiko Noda, Tatsuma Wada
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最新提交年份：
2017
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英文摘要：
A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has partly been used by Ito et al. (2014, 2016a,b), and is proven to be efficient because, unlike conventional methods, it does not require Kalman filtering and smoothing procedures, but yields a smoothed estimate that is identical to the Kalman-smoothed estimate. Unlike the maximum likelihood estimator, the possibility of the pile-up problem is negligible. In addition, this approach enables us to deal with stochastic volatility models, models with a time-dependent variance-covariance matrix, and models with non-Gaussian errors that allow us to deal with abrupt changes or structural breaks in time-varying parameters.
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中文摘要：
提出了一种基于回归或广义最小二乘（GLS）的非贝叶斯方法来估计一类时变AR参数模型。Ito等人（2014、2016a、b）部分使用了该方法，并证明该方法是有效的，因为与传统方法不同，它不需要卡尔曼滤波和平滑程序，但产生的平滑估计与卡尔曼平滑估计相同。与最大似然估计不同，堆积问题的可能性可以忽略不计。此外，这种方法使我们能够处理随机波动率模型、具有时变方差协方差矩阵的模型以及具有非高斯误差的模型，这些模型允许我们处理时变参数中的突然变化或结构中断。
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分类信息：

一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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