Integer-valued trawl processes are a class of serially correlated, stationary and infinitely divisible processes that Ole E. Barndorff-Nielsen has been working on in recent years. In this chapter, we provide the first analysis of likelihood inference for trawl processes by focusing on the so-called exponential-trawl process, which is also a continuous time hidden Markov process with countable state space. The core ideas include prediction decomposition, filtering and smoothing, complete-data analysis and EM algorithm. These can be easily scaled up to adapt to more general trawl processes but with increasing computation efforts.
CITATION STYLE
Shephard, N., & Yang, J. J. (2015). Likelihood inference for exponential-trawl processes. In The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 251–281). Springer International Publishing. https://doi.org/10.1007/978-3-319-25826-3_12
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