Efficient Bayesian estimation of multivariate state space models

DOI10.1016/J.CSDA.2009.04.019MaRDI QIDQ961901zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• scientific article; zbMATH DE number 1911984 (Why is no real title available?)
• A simple and efficient simulation smoother for state space time series analysis
• Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
• Bayesian analysis of the stochastic conditional duration model
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Fast filtering and smoothing for multivariate state space models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
• Likelihood analysis of non-Gaussian measurement time series
• Monte Carlo strategies in scientific computing
• On Gibbs sampling for state space models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The diffuse Kalman filter
• The simulation smoother for time series models
• Time series analysis by state space methods
• Trends and cycles in economic time series: a Bayesian approach

Cited in

(12)

• Fully Bayesian analysis of switching Gaussian state space models
• 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
• Bayesian variable selection and model averaging in the arbitrage pricing theory model

Describes a project that uses

Uses Software

• BayesDA

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