Switching state-space models: likelihood function, filtering and smoothing

DOI10.1016/S0378-3758(97)00136-5zbMATH Open0944.62085OpenAlexW2094961642MaRDI QIDQ1299533FDOQ1299533

Alain Monfort, Monica Billio

Publication date: 26 September 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00136-5

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zbMATH Keywords

state-space modelimportance samplingswitching modelsmootherpartial Kalman filtersequential optimal samplersimulated maximum-likelihood

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Partial non-Gaussian state space
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Analysis of time series subject to changes in regime
• Dynamic linear models with Markov-switching
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• Finite Element Solutions for Steady State Visco-Plastic Flow

Cited In (10)

• Regime switching state-space models applied to psychological processes: handling missing data and making inferences
• State space Markov switching models using wavelets
• Spectral representation and autocovariance structure of Markov switching DSGE models
• A fast and stable method to compute the likelihood of time invariant state-space models.
• Implied distributions in multiple change point problems
• Stochastic volatility duration models
• Estimation of dynamic and ARCH Tobit models
• Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation
• Bayesian estimation of switching ARMA models
• Closed-form likelihood function of Markov-switching models.

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