Pairwise Likelihood Inference for General State Space Models
From MaRDI portal
Publication:3615083
DOI10.1080/07474930802388009zbMath1161.62061MaRDI QIDQ3615083
Publication date: 17 March 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802388009
regime switching; efficiency; state space model; composite likelihood; pairwise likelihood; Tobit model; pseudolikelihood
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62F10: Point estimation
65C05: Monte Carlo methods
Related Items
On composite marginal likelihoods, Pairwise likelihood inference for ordinal categorical time series, A note on predictive densities based on composite likelihood methods, Pairwise likelihood inference for the random effects probit model, Aberrant Crypt Foci and Semiparametric Modeling of Correlated Binary Data
Cites Work
- Unnamed Item
- Unnamed Item
- Bayesian forecasting and dynamic models.
- Pairwise likelihood inference for ordinal categorical time series
- Local scale models. State space alternative to integraded GARCH processes
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
- Consistent and asymptotically normal parameter estimates for hidden Markov models
- Sequential Monte Carlo Methods in Practice
- Maximum likelihood estimation of order m for stationary stochastic processes
- A note on pseudolikelihood constructed from marginal densities
- A note on composite likelihood inference and model selection
- ML, PL, QL in Markov Chain Models
- Extended Mantel-Haenszel Estimating Procedure for Multivariate Logistic Regression Models
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Partial likelihood
- Exponential Family State Space Models Based on a Conjugate Latent Process
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
- Composite likelihood estimation in multivariate data analysis
