A point mass proposal method for Bayesian state-space model fitting

DOI10.1007/s11222-023-10268-6zbMath1517.62036arXiv2203.13649OpenAlexW4385343516MaRDI QIDQ6117022

Mary Llewellyn, Ruth King, Gordon J. Ross, Víctor Elvira

Publication date: 16 August 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.13649

zbMATH Keywords

hidden Markov modelsstate-space modelsMarkov chain Monte Carlo (MCMC)data augmentationBayesian methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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