On the Convergence of the Monte Carlo Maximum Likelihood Method for Latent Variable Models

DOI10.1111/1467-9469.00309MaRDI QIDQ4455923zbMATH OpenOpenAlexFDO

Authors Olivier Cappé, Randal Douc, Eric Moulines, Christian P. Robert Robert

Publication date 16 March 2004

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00309

zbMATH Keywords

missing datarate of convergencelikelihood ratio

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Bayesian inference (62F15) Monte Carlo methods (65C05)

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Cites work

• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Simulation-based inference. A survey with special reference to panel data models

Cited in

(8)

• Statistical Inference for Partially Hidden Markov Models
• Asymptotics of maximum likelihood estimators based on Markov chain Monte Carlo methods
• Convergence of Position-Dependent MALA with Application to Conditional Simulation in GLMMs
• Particle methods for statistical inference and design optimization
• Maximum likelihood estimation of the Markov-switching GARCH model
• Monte Carlo likelihood inference for missing data models
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
• Asymptotic properties of particle filter-based maximum likelihood estimators for state space models

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