Exact Inference for Continuous Time Markov Chain Models

DOI10.2307/2297610zbMath0595.62097OpenAlexW2049027676MaRDI QIDQ3727194

Gary A. Zarkin, Robert C. Marshall, John F. Geweke

Publication date: 1986

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2297610

zbMATH Keywords

embeddabilityMonte Carlo integrationaliasingexact Bayesian inferencecontinuous time homogeneous Markov chainuniform diffuse prior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Inference from stochastic processes (62M99) Numerical integration (65D30)

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Exact predictive densities for linear models with ARCH disturbances ⋮ SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration ⋮ Pseudo-Marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations ⋮ The life and work of Gustav Elfving. ⋮ Bayesian analysis of elapsed times in continuous‐time Markov chains

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