Siem Jan Koopman

12 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-4440-9524

Publications

• Amendments and Corrections: ‘Information-theoretic optimality of observation-driven time series models for continuous responses’ — Biometrika 2018
• Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model — Journal of the American Statistical Association 2017
• Information-theoretic optimality of observation-driven time series models for continuous responses — Biometrika 2015
• Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models — Biometrika 2007
• Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices — Journal of the American Statistical Association 2007
• A simple and efficient simulation smoother for state space time series analysis — Biometrika 2002 (name-matched, not ORCID-linked)
• Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2000
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models — Journal of the American Statistical Association 1997
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models — Biometrika 1997 (name-matched, not ORCID-linked)
• Disturbance smoother for state space models — Biometrika 1993
• Forecasting Hourly Electricity Demand Using Time-Varying Splines — Journal of the American Statistical Association 1993
• Miscellanea: Exact score for time series models in state space form — Biometrika 1992