Estimation of unknown parameters in nonlinear and non-Gaussian state-space models

DOI10.1016/S0378-3758(00)00218-4zbMath0972.62083OpenAlexW2075621349MaRDI QIDQ5939947

Hisashi Tanizaki

Publication date: 19 November 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00218-4

zbMATH Keywords

simulated annealingmode estimationMetropolis-Hastings algorithmMonte Carlo optimizationstate-space model

Mathematics Subject Classification ID

Related Items (1)

Stable Autoregressive Models and Signal Estimation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Global optimization of statistical functions with simulated annealing
• Optimization by Simulated Annealing
• Nonlinear filters. Estimation and applications
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Statistical methods in finance
• Recursive Bayesian estimation using piecewise constant approximations
• Markov chains for exploring posterior distributions. (With discussion)
• Smoothness priors analysis of time series
• Recent Developments in Nonparametric Density Estimation
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Generalized Simulated Annealing for Function Optimization
• The Calculation of Posterior Distributions by Data Augmentation
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Markov chain Monte Carlo in conditionally Gaussian state space models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On Gibbs sampling for state space models
• On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
• On the nonlinear and nonnormal filter using rejection sampling
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

This page was built for publication: Estimation of unknown parameters in nonlinear and non-Gaussian state-space models