The Block-Correlated Pseudo Marginal Sampler for State Space Models

DOI10.1080/07350015.2024.2308109MaRDI QIDQ7023615zbMATH OpenFDO

Authors David Gunawan, Pratiti Chatterjee, Robert Kohn

Publication date 21 February 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2024.2308109

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Adaptive optimal scaling of Metropolis-Hastings algorithms using the Robbins-Monro process
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• Bayesian inference for nonlinear structural time series models
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Estimating Macroeconomic Models: A Likelihood Approach
• New developments in state estimation for nonlinear systems
• On disturbance state-space models and the particle marginal Metropolis-Hastings sampler
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Particle Markov Chain Monte Carlo Methods
• Pseudo-marginal Metropolis–Hastings sampling using averages of unbiased estimators
• Solution methods for models with rare disasters
• Tempered particle filtering
• The correlated pseudomarginal method
• The pseudo-marginal approach for efficient Monte Carlo computations
• Weighted Average Importance Sampling and Defensive Mixture Distributions

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