Pairwise Likelihood Inference for General State Space Models
DOI10.1080/07474930802388009zbMATH Open1161.62061OpenAlexW2032554831MaRDI QIDQ3615083FDOQ3615083
Authors: Cristiano Varin, Paolo Vidoni 
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
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composite likelihoodregime switchingstate space modelTobit modelefficiencypseudolikelihoodpairwise likelihood
Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
- Sequential Monte Carlo Methods in Practice
- Time series analysis by state space methods
- A note on composite likelihood inference and model selection
- Partial likelihood
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Composite likelihood estimation in multivariate data analysis
- Bayesian forecasting and dynamic models.
- Title not available (Why is that?)
- A note on pseudolikelihood constructed from marginal densities
- Extended Mantel-Haenszel Estimating Procedure for Multivariate Logistic Regression Models
- ML, PL, QL in Markov Chain Models
- Consistent and asymptotically normal parameter estimates for hidden Markov models
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Local scale models. State space alternative to integraded GARCH processes
- Maximum likelihood estimation of order m for stationary stochastic processes
- Pairwise likelihood inference for ordinal categorical time series
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
- Exponential Family State Space Models Based on a Conjugate Latent Process
Cited In (18)
- Comments on pairwise likelihood in time series models
- Student‐t stochastic volatility model with composite likelihood EM‐algorithm
- Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models
- Intertemporal persistence in healthcare spending and utilization: the role of insurance
- Flexible Lévy-based models for time series of count data with zero-inflation, overdispersion, and heavy tails
- A note on predictive densities based on composite likelihood methods
- Pairwise likelihood inference for the random effects probit model
- Pairwise likelihood inference for ordinal categorical time series
- Aberrant Crypt Foci and Semiparametric Modeling of Correlated Binary Data
- A new filtering inference procedure for a GED state-space volatility model
- Approximate pairwise likelihood inference in SGLM models with skew normal latent variables
- Pairwise likelihood methods for inference in image models
- Composite likelihood estimation for models of spatial ordinal data and spatial proportional data with zero/one values
- A note on empirical likelihoods derived from pairwise score functions
- On composite marginal likelihoods
- The likelihood for a state space model
- The dimension-wise quadrature estimation of dynamic latent variable models for count data
- A weighted pairwise likelihood approach to multivariate AR(1) models
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