MCMC maximum likelihood for latent state models (Q276938): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2005.11.017
@@ Property / DOI: 10.1016/j.jeconom.2005.11.017 / rank @@
-Normal rank
@@ Property / author @@
-Michael S. Johannes
@@ Property / author: Michael S. Johannes / rank @@
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@@ Property / author @@
-Nicholas G. Polson
@@ Property / author: Nicholas G. Polson / rank @@
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@@ Property / author @@
+Michael S. Johannes
@@ Property / author: Michael S. Johannes / rank @@
+Normal rank
@@ Property / author @@
+Nicholas G. Polson
@@ Property / author: Nicholas G. Polson / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F10
@@ Property / Mathematics Subject Classification ID: 62F10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6577371
@@ Property / zbMATH DE Number: 6577371 / rank @@
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@@ Property / zbMATH Keywords @@
+MCMC
@@ Property / zbMATH Keywords: MCMC / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+maximum likelihood
@@ Property / zbMATH Keywords: maximum likelihood / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimization
@@ Property / zbMATH Keywords: optimization / rank @@
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@@ Property / zbMATH Keywords @@
+simulated annealing
@@ Property / zbMATH Keywords: simulated annealing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+evolutionary Monte Carlo
@@ Property / zbMATH Keywords: evolutionary Monte Carlo / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / zbMATH Keywords @@
+jumps
@@ Property / zbMATH Keywords: jumps / rank @@
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@@ Property / zbMATH Keywords @@
+diffusion
@@ Property / zbMATH Keywords: diffusion / rank @@
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@@ Property / zbMATH Keywords @@
+financial econometrics
@@ Property / zbMATH Keywords: financial econometrics / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2005.11.017
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@@ Property / OpenAlex ID @@
+W2078014809
@@ Property / OpenAlex ID: W2078014809 / rank @@
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@@ Property / cites work @@
+Q4092750
@@ Property / cites work: Q4092750 / rank @@
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@@ Property / cites work @@
+An MCMC approach to classical estimation.
@@ Property / cites work: An MCMC approach to classical estimation. / rank @@
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@@ Property / cites work @@
+Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
+Normal rank
@@ Property / cites work @@
+Q5612972
@@ Property / cites work: Q5612972 / rank @@
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@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
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@@ Property / cites work @@
+Marginal maximum a posteriori estimation using Markov chain Monte Carlo
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+Monte Carlo maximum likelihood estimation for non-Gaussian state space models
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+Laplace Approximations for Posterior Expectations When the Mode Occurs at the Boundary of the Parameter Space
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+Estimation of stochastic volatility models with diagnostics
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+Q4195809
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+Normal rank
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
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+Optimization by Simulated Annealing
@@ Property / cites work: Optimization by Simulated Annealing / rank @@
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+Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
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+Real-Parameter Evolutionary Monte Carlo With Applications to Bayesian Mixture Models
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+Option pricing when underlying stock returns are discontinuous
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+Letter to the Editor—A Monte Carlo Method for the Approximate Solution of Certain Types of Constrained Optimization Problems
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+Q4267796
@@ Property / cites work: Q4267796 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of stochastic volatility models via Monte Carlo maximum likelihood
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+Theory of statistics
@@ Property / cites work: Theory of statistics / rank @@
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+Q5445942
@@ Property / cites work: Q5445942 / rank @@
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@@ Property / cites work @@
+Q3785827
@@ Property / cites work: Q3785827 / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2005.11.017
@@ Property / DOI: 10.1016/J.JECONOM.2005.11.017 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:276938