Efficient simulation and integrated likelihood estimation in state space models
Date
2009
Authors
Chan, Chi Chun (Joshua)
Jeliazkov, Ivan
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Inderscience Publishers
Abstract
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
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Keywords: Banded matrix; Bayesian estimation; Collapsed sampler; Dynamic factor model; Kalman filter; Markov chain Monte Carlo; MCMC; State smoothing; Time-varying parameter model
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International Journal of Mathematical Modelling and Numerical Optimisation
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Journal article
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2037-12-31
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