Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study

DOI10.1080/03610918.2010.509831MaRDI QIDQ3072399zbMATH OpenOpenAlexFDO

Authors Thiago Rezende dos Santos, Glaura C. Franco

Publication date 3 February 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.509831

zbMATH Keywords

bootstrapMetropolis-Hastingsstate space modelsdynamic linear modelsconfidence and credibility intervals

Mathematics Subject Classification ID

Bayesian inference (62F15) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Parametric tolerance and confidence regions (62F25)

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Cites work

• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 2230348 (Why is no real title available?)
• A State space approach to bootstrapping conditional forecasts in arma models
• An adaptive resampling scheme for cycle estimation
• Bayesian forecasting and dynamic models.
• Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters
• Bootstrap prediction intervals in state-space models
• Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
• Confidence Intervals for the Hyperparameters in Structural Models
• Contemporary Bayesian Econometrics and Statistics
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Hyperparameter estimation in forecast models.
• Monte Carlo sampling methods using Markov chains and their applications
• On Gibbs sampling for state space models
• Particle learning and smoothing
• Time series analysis by state space methods
• Trends and cycles in economic time series: a Bayesian approach

Cited in

(1)

• Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models

Describes a project that uses

Uses Software

• Ox
• CODA

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