Markov chain Monte Carlo in conditionally Gaussian state space models
From MaRDI portal
Publication:3837366
DOI10.1093/BIOMET/83.3.589zbMath0866.62018OpenAlexW2095717911MaRDI QIDQ3837366
Publication date: 8 December 1996
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/14c9b1e9cf2eb7a3c28d773c02f919ecee903d67
Bayesian analysisMarkov chain Monte CarloKalman filterGibbs sampleroutlierstate space modelrobust nonparametric regressionfinite mixtures of normalstime series change point problem
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (35)
Bayesian tail risk interdependence using quantile regression ⋮ Nonlinear and nonnormal filter using importance sampling: antithetic monte carlo integration ⋮ Nonlinear and non-gaussian state estimation: A quasi-optimal estimator ⋮ A simple hidden markov model for bayesian modeling with time dependent data ⋮ Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data ⋮ Efficient Parameter Sampling for Markov Jump Processes ⋮ A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS ⋮ Markov-switching state-space models with applications to neuroimaging ⋮ An application of the double Edgeworth expansion to a filtering model with Gaussian limit ⋮ A Bayesian inference for time series via copula-based Markov chain models ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ A Bayesian nonparametric approach for time series clustering ⋮ A flexible particle Markov chain Monte Carlo method ⋮ Priors for Bayesian adaptive spline smoothing ⋮ Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19 ⋮ Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA ⋮ Meta-analysis of functional neuroimaging data using Bayesian nonparametric binary regression ⋮ An effcient exact Bayesian method for state space models with stochastic volatility ⋮ Simulation smoothing for state-space models: a computational efficiency analysis ⋮ A spatio-temporal model for assessing winter damage risk to east coast vineyards ⋮ Function estimation with locally adaptive dynamic models ⋮ Mixed-Effects State-Space Models for Analysis of Longitudinal Dynamic Systems ⋮ Posterior property in nonparametric mixed effects model ⋮ Factor estimation using MCMC-based Kalman filter methods ⋮ Estimation of unknown parameters in nonlinear and non-Gaussian state-space models ⋮ Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling. ⋮ Bayesian Analysis of Single-Molecule Experimental Data ⋮ Unnamed Item ⋮ Time series of count data: Modeling, estimation and diagnostics ⋮ Bayesian Tobit quantile regression model for medical expenditure panel survey data ⋮ Bayesian hierarchical linear mixed models for additive smoothing splines ⋮ Bayesian Semiparametric Intensity Estimation for Inhomogeneous Spatial Point Processes ⋮ Multilevel time-series models for small area estimation at different frequencies and domain levels ⋮ A Bayesian approach to additive semiparametric regression ⋮ On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
This page was built for publication: Markov chain Monte Carlo in conditionally Gaussian state space models
