Efficient simulation and integrated likelihood estimation in state space models
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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
| Collections | ANU 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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| File | Description | Size | Format | Image |
|---|---|---|---|---|
| 01_Chan_Efficient_simulation_and_2009.pdf | 307.32 kB | Adobe PDF | Request a copy |
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