Aart F. de Vos

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

136

SSRN CITATIONS

10

CROSSREF CITATIONS

0

Scholarly Papers (2)

Likelihood Functions for State Space Models with Diffuse Initial Conditions

Tinbergen Institute Discussion Paper No. TI 2008-040/4
Number of pages: 26 Posted: 16 Apr 2008
Marc Francke, Siem Jan Koopman and Aart F. de Vos
University of Amsterdam - Faculty of Economics and Business (FEB), Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 115 (304,802)
Citation 5

Abstract:

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Diffuse likelihood, Kalman filter, Marginal likelihood, Multivariate time series models, Profile likelihood

Likelihood Functions for State Space Models with Diffuse Initial Conditions

Journal of Time Series Analysis, Vol. 31, Issue 6, pp. 407-414, November 2010
Number of pages: 8 Posted: 12 Oct 2010
Marc Francke, Siem Jan Koopman and Aart F. de Vos
University of Amsterdam - Faculty of Economics and Business (FEB), Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2 (824,527)
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2.

The Bivariate Stochastic Functional Form

Number of pages: 25 Posted: 25 Sep 2011
Sanne De Boer and Aart F. de Vos
Voya Investment Management and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 19 (656,722)

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bivariate smoothing splines, Kalman filter, nonparametric regression