Reply to on some problems in the article "Efficient likelihood estimation in state space models" by Cheng-Der Fuh [Ann, Statist. 34 (2006) 2026-2068]
Cheng-Der Fuh, Chu-Lan Kao
TL;DR
This paper responds to comments on a previous work about likelihood estimation in state space models, clarifying specific problems and using established notations to address issues raised.
Contribution
It provides a detailed reply to critiques of Fuh's 2006 work, clarifying methodological points and addressing unresolved problems.
Findings
Clarification of Problem 2.3 in Fuh (2010)
Reaffirmation of likelihood estimation methods in state space models
Resolution of specific issues raised by Jensen (2010)
Abstract
This note replies Dr. Jensen (2010) comments on Problem 2.3, which was left in Fuh (2010). In the following, we use the same notations and definitions in Fuh (2006) unless specified.
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Statistical Methods and Inference · Monetary Policy and Economic Impact