MCMC for state-space models

zbMATH Open1229.65011MaRDI QIDQ3172423FDOQ3172423

Authors: Paul Fearnhead 

Publication date: 5 October 2011

Recommendations

• State space and hidden Markov models
• A simple hidden markov model for bayesian modeling with time dependent data
• Markov chain Monte Carlo in conditionally Gaussian state space models
• Efficient simulation and integrated likelihood estimation in state space models
• Sequential Monte Carlo smoothing for general state space hidden Markov models

zbMATH Keywords

state-space modelstime series modelsMarkov chain Monte Carlo (MCMC) methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (9)

• Augmentation schemes for particle MCMC
• Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
• An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
• Bayesian State Space Modeling of Physical Processes in Industrial Hygiene
• Full Bayesian inference in hidden Markov models of plant growth
• Statistical modelling of individual animal movement: an overview of key methods and a discussion of practical challenges
• The likelihood for a state space model
• A point mass proposal method for Bayesian state-space model fitting
• Bayesian Learning of Degenerate Linear Gaussian State Space Models Using Markov Chain Monte Carlo

This page was built for publication: MCMC for state-space models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3172423)