2013/07/30

Importance sampling

Introduction

This simple note reviews the importance sampling. This discussion is adapted from here and here.

2013/07/22

Static Parameter Estimation for the GARCH model

Introduction

In this post, we review the online maximum-likelihood parameter estimation for GARCH model which is a dynamic variance model. GARCH can be seen as a toy volatility model and used as a textbook example for financial time series modelling.

2013/07/15

On the Poisson Random Variables

Introduction.

In this post, we give insights and theorems on Poisson random variables. Our main reference is: Poisson Processes, J. F. C. Kingman. Oxford Studies in Probability (1993).