Partial non-Gaussian state space
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discrete Markov chain componentsEM algorithmexact resultsfilteringfully BayesianGaussian mixture distributionsGaussian state space filteringMarkov switching modelmaximum likelihoodMetropolis algorithmmultiplicative modelsnon- Gaussian times series modelsoutlier modelspartial non-Gaussian state spacepredictionseasonal adjustmentsmoothingstochastic variance modelsStudents distributionunobserved components
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Cited in
(70)- Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
- Auxiliary mixture sampling with applications to logistic models
- Interpretation and inference in mixture models: simple MCMC works
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Switching state-space models: likelihood function, filtering and smoothing
- Estimation and comparison of multiple change-point models
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Estimation of HIV infection and incubation via state space models
- Convergence of a stochastic approximation version of the EM algorithm
- Bayesian estimation of switching ARMA models
- Non-Gaussian seasonal adjustment
- Markov chain Monte Carlo methods for stochastic volatility models.
- The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
- Estimation of time-varying autoregressive stochastic volatility models with stable innovations
- A closed-form filter for binary time series
- State-space models for maxima precipitation
- Dynamic quantile linear models: a Bayesian approach
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Extracting common pulse-like signals from multiple ice core time series
- Stochastic volatility duration models
- Universal residuals: a multivariate transformation
- Stability of the Gibbs sampler for Bayesian hierarchical models
- A skewed Kalman filter
- Conditional expansions and their applications.
- On the use of non-linear transformations in stochastic volatility models
- Stochastic model specification search for Gaussian and partial non-Gaussian state space models
- Local scale invariance and robustness of proper scoring rules
- Modeling time-variation over the business cycle (1960--2017): an international perspective
- A unified approach to nonlinearity, structural change, and outliers
- Modelling security market events in continuous time: intensity based, multivariate point process models
- 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
- Particle filters and Bayesian inference in financial econometrics
- Sequential predictions of menstrual cycle lengths
- Bayesian analysis of stochastic volatility models with flexible tails
- On generalised asymmetric stochastic volatility models
- Bayesian Enhancement of Speech and Audio Signals which can be Modelled as ARMA Processes
- A general framework for the parametrization of hierarchical models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- Some state space models of hiv epidemic and its applications for the estimation of hiv infection and incubation
- Long memory stochastic volatility : A bayesian approach
- NONLINEAR DYNAMICAL SYSTEM IDENTIFICATION FROM UNCERTAIN AND INDIRECT MEASUREMENTS
- Structural Time Series Models with Feedback Mechanisms
- A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
- An empirical Bayesian forecast in the threshold stochastic volatility models
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Factor Multivariate Stochastic Volatility via Wishart Processes
- State‐space models for multivariate longitudinal data of mixed types
- Monte Carlo filters for non-linear state estimation
- Modelling the HIV epidemic: A state-space approach
- Stationarity of multivariate Markov-switching ARMA models
- Stochastic modeling of carcinogenesis by state space models: a new approach
- Optimal estimation and Cramér-Rao bounds for partial non-Gaussian state space models
- Modified efficient importance sampling for partially non‐Gaussian state space models
- On computational aspects of Bayesian spatial models: influence of the neighboring structure in the efficiency of MCMC algorithms
- Heavy-tailed-distributed threshold stochastic volatility models in financial time series
- Comparison of sampling schemes for dynamic linear models
- Unobserved component models, approximate filters and dynamic adaptive mixture models
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Comparison of MCMC methods for estimating stochastic volatility models
- An application of the double Edgeworth expansion to a filtering model with Gaussian limit
- Bayesian estimation and stochastic model specification search for dynamic survival models
- An extensive study on Markov switching models with endogenous regressors
- Space-varying regression models: specifications and simulation
- On time series with randomized unit root and randomized seasonal unit root
- Bayesian analysis of the stochastic conditional duration model
- Iterated importance sampling in missing data problems
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