Efficient Bayesian estimation of multivariate state space models
DOI10.1016/J.CSDA.2009.04.019zbMATH Open1453.62206OpenAlexW2060723225WikidataQ56994564 ScholiaQ56994564MaRDI QIDQ961901FDOQ961901
Authors: Chris M. Strickland, I. Turner, Robert Denham, K. Mengersen 
Publication date: 1 April 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2009.04.019
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Cites Work
- Time series analysis by state space methods
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- On Gibbs sampling for state space models
- Likelihood analysis of non-Gaussian measurement time series
- A simple and efficient simulation smoother for state space time series analysis
- Title not available (Why is that?)
- Fast filtering and smoothing for multivariate state space models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- The simulation smoother for time series models
- Monte Carlo strategies in scientific computing
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- The diffuse Kalman filter
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- Trends and cycles in economic time series: a Bayesian approach
- Bayesian analysis of the stochastic conditional duration model
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
Cited In (12)
- Bayesian dynamic linear models for estimation of phenological events from remote sensing data
- Bayesian semi parametric multi-state models
- An interacting multiple model approach for state estimation with non-gaussian noise using a variational Bayesian method
- Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach
- Bayesian prediction mean squared error for state space models with estimated parameters
- Efficient simulation and integrated likelihood estimation in state space models
- Using Approximate Bayesian Computation by Subset Simulation for Efficient Posterior Assessment of Dynamic State-Space Model Classes
- Bayesian state-space modeling in gene expression data analysis: an application with biomarker prediction
- Approximate Bayesian inference for discretely observed continuous‐time multi‐state models
- Efficient Likelihood Evaluation of State-Space Representations
- Fully Bayesian analysis of switching Gaussian state space models
- Bayesian variable selection and model averaging in the arbitrage pricing theory model
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