Efficient matrix approach for classical inference in state space models (Q2311132): Difference between revisions

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+Bayesian Analysis of DSGE Models
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+Efficient simulation and integrated likelihood estimation in state space models
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+An MCMC approach to classical estimation.
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+Q2891271
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+Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
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+Estimating the state vector of linearized DSGE models without the Kalman filter
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+Computing observation weights for signal extraction and filtering
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+Simulation smoothing for state-space models: a computational efficiency analysis
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+Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter
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+AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
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