Maximum likelihood estimation of latent Markov models using closed-form approximations

DOI10.1016/J.JECONOM.2020.09.001MaRDI QIDQ6199638zbMATH OpenOpenAlexFDO

Authors

Publication date 21 March 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.09.001

zbMATH Keywords

diffusionintegrating outlatent state variableslikelihoodMarkov chain Monte CarloMarkov vector

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(3)

• An efficient method to simulate diffusion bridges
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