MCMC maximum likelihood for latent state models
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Cites work
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- Estimation of stochastic volatility models with diagnostics
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- Laplace Approximations for Posterior Expectations When the Mode Occurs at the Boundary of the Parameter Space
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- Marginal maximum a posteriori estimation using Markov chain Monte Carlo
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- Optimization by simulated annealing
- Option pricing when underlying stock returns are discontinuous
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- Theory of statistics
Cited in
(33)- Simulation-based approach to estimation of latent variable models
- Maximum likelihood estimation of the Markov-switching GARCH model
- Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
- Approximate maximum likelihood estimation using data-cloning ABC
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- The ABC of simulation estimation with auxiliary statistics
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Dimensional reduction for latent scores modeling using recursive integration
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Efficient simulation and integrated likelihood estimation in state space models
- Augmented simulation methods for discrete stochastic optimization with recourse
- Inference for dynamic and latent variable models via iterated perturbed Bayes maps
- MCMC perspectives on simulated likelihood estimation
- scientific article; zbMATH DE number 1943892 (Why is no real title available?)
- What are the advantages of MCMC based inference in latent variable models?
- scientific article; zbMATH DE number 1489818 (Why is no real title available?)
- Marginal maximum a posteriori estimation using Markov chain Monte Carlo
- Augmented Markov chain Monte Carlo simulation for two-stage stochastic programs with recourse
- Reduced-Dimensional Monte Carlo Maximum Likelihood for Latent Gaussian Random Field Models
- Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning
- Inference with a contrast-based posterior distribution and application in spatial statistics
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
- Monte Carlo State-Space Likelihoods by Weighted Posterior Kernel Density Estimation
- Horseshoe Regularisation for Machine Learning in Complex and Deep Models1
- Data augmentation for Bayesian deep learning
- Maximum likelihood estimation for discrete latent variable models via evolutionary algorithms
- Sequential Monte Carlo optimization and statistical inference
- A projection-based Laplace approximation for spatial latent variable models
- Zero-inflation in the multivariate Poisson lognormal family
- Interacting particle Langevin algorithm for maximum marginal likelihood estimation
- Fast maximum likelihood estimation for general hierarchical models
- A Mirror Descent Approach to Maximum Likelihood Estimation in Latent Variable Models
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
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