A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
From MaRDI portal
Publication:6616634
Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 3114766 (Why is no real title available?)
- scientific article; zbMATH DE number 3954119 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A non-Gaussian family of state-space models with exact marginal likelihood
- A simple and efficient simulation smoother for state space time series analysis
- A standard error for the estimated state vector of a state-space model
- A survey of sequential Monte Carlo methods for economics and finance
- A theory of the term structure of interest rates
- Affine processes and applications in finance
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Bayesian forecasting and dynamic models.
- Calculating posterior distributions and modal estimates in Markov mixture models
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Computable infinite-dimensional filters with applications to discretized diffusion processes
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Evaluation of likelihood functions for Gaussian signals
- Exponential Family State Space Models Based on a Conjugate Latent Process
- Finite mixture and Markov switching models.
- Inference in hidden Markov models.
- Local scale models. State space alternative to integraded GARCH processes
- Maximum Likelihood Estimation of Misspecified Models
- Mixture Kalman Filters
- Monte Carlo EM Estimation for Time Series Models Involving Counts
- On Gibbs sampling for state space models
- Simulating bessel random variables
- Statistical Inference for Probabilistic Functions of Finite State Markov Chains
- Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
- The multi-state latent factor intensity model for credit rating transitions
- The simulation smoother for time series models
- Time series analysis by state space methods.
- Two singular diffusion problems
This page was built for publication: A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6616634)
