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Efficient simulation and integrated likelihood estimation in state space models

Chan, Chi Chun (Joshua); Jeliazkov, Ivan

Description

We consider the problem of implementing simple and efficient Markov chain Monte Carlo (MCMC) estimation algorithms for state space models. A conceptually transparent derivation of the posterior distribution of the states is discussed, which also leads to

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
URI: http://hdl.handle.net/1885/32715
Source: International Journal of Mathematical Modelling and Numerical Optimisation
DOI: 10.1504/IJMMNO.2009.030090

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