MCMC for state-space models

MaRDI QIDQ3172423zbMATH OpenFDO

Authors Paul Fearnhead

Publication date 5 October 2011

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)

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Cited in

(9)

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

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