Efficient simulation and integrated likelihood estimation in state space models

International Journal of Mathematical Modelling and Numerical Optimisation

Volumn 1, Issue 1-2, 2009, Pages 101-120

  Chan, Joshua C C ^a   Jeliazkov, Ivan ^b  

^a UNIVERSITY OF QUEENSLAND   (Australia)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Banded matrix; Bayesian estimation; Collapsed sampler; Dynamic factor model; Kalman filter; Markov chain Monte Carlo; MCMC; State smoothing; Time varying parameter model

Indexed keywords

EID: 77956292458     PISSN: 20403607     EISSN: 20403615     Source Type: Journal    
DOI: 10.1504/IJMMNO.2009.030090     Document Type: Article

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