Maximum likelihood estimation of regression effects in state space models

DOI10.1515/JEM-2024-0020MaRDI QIDQ6936978zbMATH OpenFDO

Authors Hang Qian

Publication date 28 August 2025

Published in Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/JEM-2024-0020

zbMATH Keywords

Bayesian analysisdiffuse priorlikelihood concentrationposterior distribution

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Sequential estimation (62L12)

Cites work

• Analytic first and second derivatives for the recursive prediction error algorithm's log likelihood function
• Bayesian data analysis.
• Computing exact score vectors for linear Gaussian state space models
• Econometric analysis of cross section and panel data.
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models
• Filtering and smoothing of state vector for diffuse state-space models
• scientific article; zbMATH DE number 48318 (Why is no real title available?)
• Likelihood functions for state space models with diffuse initial conditions
• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• The diffuse Kalman filter
• The likelihood for a state space model
• Time series analysis by state space methods.

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