Simulation smoothing for state-space models: a computational efficiency analysis
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Publication:452558
DOI10.1016/J.CSDA.2010.07.009zbMATH Open1247.62238DBLPjournals/csda/McCauslandMP11OpenAlexW2037360823WikidataQ57437736 ScholiaQ57437736MaRDI QIDQ452558FDOQ452558
Authors: William J. McCausland, Shirley Miller, Denis Pelletier 
Publication date: 15 September 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.009
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Cited In (39)
- Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Approaches toward the Bayesian estimation of the stochastic volatility model with leverage
- State-level and value-level simulations in data refinement
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine
- Forecasting emergency department waiting time using a state space representation
- Smoothing algorithms for state-space models
- Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing
- A Bayesian approach for mixed effects state-space models under skewness and heavy tails
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
- A flexible mixed-frequency vector autoregression with a steady-state prior
- MCMC interweaving strategy for estimating stochastic volatility model and its application
- An unscented Kalman smoother for volatility extraction: evidence from stock prices and options
- The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
- Precision-based sampling for state space models that have no measurement error
- Synthetic Control with Time Varying Coefficients A State Space Approach with Bayesian Shrinkage
- Fast computation of the deviance information criterion for latent variable models
- Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
- Efficient Bayesian estimation of multivariate state space models
- A simple and efficient simulation smoother for state space time series analysis
- Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
- Achieving shrinkage in a time-varying parameter model framework
- Mixed effects state-space models with Student-t errors
- The simulation smoother for time series models
- Combining large numbers of density predictions with Bayesian predictive synthesis
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- A re-examination of Libor rigging: a time-varying cointegration perspective
- Moving average stochastic volatility models with application to inflation forecast
- High-dimensional conditionally Gaussian state space models with missing data
- Wavelet-Variance-Based Estimation for Composite Stochastic Processes
- Efficient matrix approach for classical inference in state space models
- A Recursive Recomputation Approach for Smoothing in Nonlinear State–Space Modeling: An Attempt for Reducing Space Complexity
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell
- Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model
- Large Bayesian SVARs with linear restrictions
- Reducing the state space dimension in a large TVP-VAR
- Time-dependent shrinkage of time-varying parameter regression models
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