Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling

Computational Statistics and Data Analysis

Volumn 37, Issue 2, 2001, Pages 151-170

  Geweke, John ^a   Tanizaki, Hisashi ^b  

^a UNIVERSITY OF IOWA   (United States)

^b KOBE UNIVERSITY   (Japan)

Author keywords

Bayesian estimation; Gibbs sampler; Markov chain Monte Carlo; Metropolis Hastings algorithm; Nonlinear and or non Gaussian smoothing; Proposal density; State space model

Indexed keywords

ALGORITHMS; ESTIMATION; PROBABILITY DENSITY FUNCTION; SAMPLING;

BAYESIAN ESTIMATIONS;

STATE SPACE METHODS;

BAYESIAN ANALYSIS;

EID: 0035964376     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(01)00009-3     Document Type: Article

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