On Gibbs sampling for state space models
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- One-step approximations for detecting regime changes in the state space model with application to the influenza data
- Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Maximizing equity market sector predictability in a Bayesian time-varying parameter model
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Bayesian hierarchical linear mixed models for additive smoothing splines
- Hyperparameter estimation in forecast models.
- Estimation and comparison of multiple change-point models
- Bayesian analysis of multivariate threshold autoregressive models with missing data
- Nonlinear and nonnormal filters using Monte Carlo methods
- Penalized likelihood estimation and iterative Kalman smoothing for non-Gaussian dynamic regression models
- Function estimation with locally adaptive dynamic models
- Bayesian backfitting. (With comments and a rejoinder).
- Multivariate regression analysis of panel data with binary outcomes applied to unemployment data
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Dynamic hierarchical models: an extension to matrix-variate observations.
- Mixtures of experts for understanding model discrepancy in dynamic computer models
- Modelling species abundance in a river by negative binomial hidden Markov models
- Nonlinearities, smoothing and countercyclical monetary policy
- Sequential Bayesian analysis of multivariate count data
- Efficient model comparison techniques for models requiring large scale data augmentation
- Sequential Monte Carlo smoothing with parameter estimation
- Testing for time variation in an unobserved components model for the U.S. economy
- The evolution of U.S. monetary policy: 2000--2007
- Firm dynamics and the origins of aggregate fluctuations
- Change of spatiotemporal scale in dynamic models
- Efficient Gibbs sampling for Markov switching GARCH models
- Fast computation of the deviance information criterion for latent variable models
- Model selection for time series of count data
- Bayesian dynamic linear models for estimation of phenological events from remote sensing data
- Modeling systemic risk with Markov switching graphical SUR models
- Bayesian analysis of dynamic linear topic models
- A comparative study of pricing approaches for longevity instruments
- Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
- Estimating discrete Markov models from various incomplete data schemes
- The marginal likelihood of dynamic mixture models
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
- A dynamic nonstationary spatio-temporal model for short term prediction of precipitation
- Online data processing: comparison of Bayesian regularized particle filters
- Structural evolution of the postwar U.S. economy
- A dynamic hierarchical Bayesian model for the estimation of day-to-day origin-destination flows in transportation networks
- Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
- A flexible mixed-frequency vector autoregression with a steady-state prior
- Bayesian value-at-risk backtesting: the case of annuity pricing
- Bayesian inference for multistrain epidemics with application to \textit{Escherichia coli} O157:H7 in feedlot cattle
- Modeling tail risks of inflation using unobserved component quantile regressions
- Decomposing the output gap with inflation learning
- Sequential modeling, monitoring, and forecasting of streaming web traffic data
- Log-regularly varying scale mixture of normals for robust regression
- Fast and accurate variational inference for models with many latent variables
- A scalable Bayesian nonparametric model for large spatio-temporal data
- International stock comovements with endogenous clusters
- Dynamic quantile linear models: a Bayesian approach
- Testing for international business cycles: a multilevel factor model with stochastic factor selection
- Proxy vector autoregressions in a data-rich environment
- The heterogeneous impact of monetary policy on the US labor market
- Posterior property in nonparametric mixed effects model
- An efficient sampling scheme for dynamic generalized models
- A spatio-temporal downscaler for output from numerical models
- Semiparametric thurstonian models for recurrent choices: a Bayesian analysis
- Comparing and blending regional climate model predictions for the American Southwest
- Structural changes in the US economy: is there a role for monetary policy?
- A skew-normal dynamic linear model and Bayesian forecasting
- A time-varying parameter structural model of the UK economy
- A Bayesian semiparametric model for volatility with a leverage effect
- Forecasting and turning point predictions in a Bayesian panel VAR model
- Methods for computing marginal data densities from the Gibbs output
- Modeling US housing prices by spatial dynamic structural equation models
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Spatially varying dynamic coefficient models
- Stability of the Gibbs sampler for Bayesian hierarchical models
- An application of a two-level non-Gaussian state-space model in the analysis of longitudinal papilloma count data
- Time-varying sparsity in dynamic regression models
- Lookahead strategies for sequential Monte Carlo
- A Bayesian approach to additive semiparametric regression
- Multivariate spatio-temporal models for high-dimensional areal data with application to longitudinal employer-household dynamics
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
- Markov-switching quantile autoregression: a Gibbs sampling approach
- Fiscal policy uncertainty and US output
- An effcient exact Bayesian method for state space models with stochastic volatility
- A comparison between parallel algorithms for system parameter estimation in dynamic linear models
- Bayesian tail risk interdependence using quantile regression
- Geometric ergodicity of Rao and Teh's algorithm for homogeneous Markov jump processes
- Semiparametric Bayesian inference in smooth coefficient models
- A unified approach to nonlinearity, structural change, and outliers
- Approximate Bayesian estimation for multivariate count time series models
- Reversible jump Markov chain Monte Carlo methods and segmentation algorithms in hidden Markov models
- Bayesian deconvolution of signals observed on arrays
- Measuring expectations in options markets: an application to the S\&P500 index
- Power-weighted densities for time series data
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
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