Efficient Likelihood Evaluation of State-Space Representations
From MaRDI portal
Publication:4922019
DOI10.1093/RESTUD/RDS040zbMATH Open1263.91036OpenAlexW2142021412MaRDI QIDQ4922019FDOQ4922019
Authors: David N. DeJong, Roman Liesenfeld, Guilherme V. Moura, Jean-Francois Richard, Hariharan Dharmarajan 
Publication date: 28 May 2013
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/restud/rds040
Recommendations
- Efficient likelihood estimation in state space models
- Efficient simulation and integrated likelihood estimation in state space models
- scientific article; zbMATH DE number 2199137
- Fast likelihood evaluation and prediction for nonstationary state space models
- Efficient Bayesian estimation of multivariate state space models
- A fast and stable method to compute the likelihood of time invariant state-space models.
- Efficient estimation of conditionally linear and Gaussian state space models
- A numerically efficient implementation of the expectation maximization algorithm for state space models
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
particle filterdynamic stochastic general equilibrium modelefficient importance samplingkernel density approximation
Cited In (18)
- On particle methods for parameter estimation in state-space models
- Testing for parameter changes in linear state space models
- Boolean Kalman filter and smoother under model uncertainty
- Title not available (Why is that?)
- Efficient likelihood estimation in state space models
- A fast and stable method to compute the likelihood of time invariant state-space models.
- Efficient estimation of conditionally linear and Gaussian state space models
- Particle efficient importance sampling
- A one-step-ahead pseudo-DIC for comparison of Bayesian state-space models
- Maximum likelihood recursive state estimation using the expectation maximization algorithm
- Bandwidth selection in pre-smoothed particle filters
- Bayesian inference for nonlinear structural time series models
- Efficient matrix approach for classical inference in state space models
- A survey of sequential Monte Carlo methods for economics and finance
- Efficient simulation and integrated likelihood estimation in state space models
- Likelihood approximation by numerical integration on sparse grids
- The likelihood for a state space model
- Particle filters for partially-observed Boolean dynamical systems
Uses Software
This page was built for publication: Efficient Likelihood Evaluation of State-Space Representations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4922019)
