Exact Inference for Continuous Time Markov Chain Models
From MaRDI portal
Publication:3727194
DOI10.2307/2297610zbMath0595.62097OpenAlexW2049027676MaRDI QIDQ3727194
Gary A. Zarkin, Robert C. Marshall, John F. Geweke
Publication date: 1986
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297610
embeddabilityMonte Carlo integrationaliasingexact Bayesian inferencecontinuous time homogeneous Markov chainuniform diffuse prior
Applications of statistics to economics (62P20) Bayesian inference (62F15) Inference from stochastic processes (62M99) Numerical integration (65D30)
Related Items
Exact predictive densities for linear models with ARCH disturbances ⋮ SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration ⋮ Pseudo-Marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations ⋮ The life and work of Gustav Elfving. ⋮ Bayesian analysis of elapsed times in continuous‐time Markov chains
