Pizzinga, Adrian Restricted Kalman filtering. Theory, methods, and application. (English) Zbl 1256.62055 SpringerBriefs in Statistics. New York, NY: Springer (ISBN 978-1-4614-4737-5/pbk; 978-1-4614-4738-2/ebook). xi, 57 p. (2012). MSC: 62M20 62F30 62P20 62-01 62-02 PDF BibTeX XML Cite \textit{A. Pizzinga}, Restricted Kalman filtering. Theory, methods, and application. New York, NY: Springer (2012; Zbl 1256.62055) Full Text: DOI OpenURL
Rekkas, M.; Sun, Y.; Wong, A. Improved inference for first-order autocorrelation using likelihood analysis. (English) Zbl 1199.62016 J. Time Ser. Anal. 29, No. 3, 513-532 (2008). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 62F12 62F05 65C60 PDF BibTeX XML Cite \textit{M. Rekkas} et al., J. Time Ser. Anal. 29, No. 3, 513--532 (2008; Zbl 1199.62016) Full Text: DOI Link OpenURL
Maekawa, Koichi; Lee, Sangyeol; Tokutsu, Yasuyoshi Cusum test for parameter change in GARCH (1, 1) models with application to Tokyo stock data. (English) Zbl 1090.62118 Far East J. Theor. Stat. 18, No. 1, 15-23 (2006). MSC: 62P05 62M10 PDF BibTeX XML Cite \textit{K. Maekawa} et al., Far East J. Theor. Stat. 18, No. 1, 15--23 (2006; Zbl 1090.62118) OpenURL
Davidson, James Forecasting Markov-switching dynamic, conditionally heteroscedastic processes. (English) Zbl 1096.62090 Stat. Probab. Lett. 68, No. 2, 137-147 (2004). MSC: 62M20 PDF BibTeX XML Cite \textit{J. Davidson}, Stat. Probab. Lett. 68, No. 2, 137--147 (2004; Zbl 1096.62090) Full Text: DOI Link OpenURL