Maximum likelihood estimation of latent Markov models using closed-form approximations

DOI10.1016/j.jeconom.2020.09.001OpenAlexW3097797625MaRDI QIDQ6199638

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Publication date: 21 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.09.001

zbMATH Keywords

likelihooddiffusionMarkov chain Monte CarloMarkov vectorintegrating outlatent state variables

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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