The HESSIAN method: highly efficient simulation smoothing, in a nutshell
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Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 1820665 (Why is no real title available?)
- A Levinson-like algorithm for symmetric strongly nonsingular higher order semiseparable plus band matrices
- A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
- A regression model for time series of counts
- A simple and efficient simulation smoother for state space time series analysis
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Approximating Hidden Gaussian Markov Random Fields
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Auxiliary mixture sampling for parameter-driven models of time series of counts with applications to state space modelling
- Auxiliary mixture sampling with applications to logistic models
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Bayesian analysis of the stochastic conditional duration model
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Efficient high-dimensional importance sampling
- Efficient simulation and integrated likelihood estimation in state space models
- Fast sampling of Gaussian Markov random fields
- Filtering via Simulation: Auxiliary Particle Filters
- Getting It Right
- Likelihood analysis of non-Gaussian measurement time series
- Markov chain Monte Carlo for dynamic generalised linear models
- Markov chain Monte Carlo methods for stochastic volatility models.
- Markov-chain monte carlo: Some practical implications of theoretical results
- Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Nonlinear State-Space Models With State-Dependent Variances
- On Gibbs sampling for state space models
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
- Simulation smoothing for state-space models: a computational efficiency analysis
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stochastic volatility with leverage: fast and efficient likelihood inference
- The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
- The simulation smoother for time series models
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- Time series of count data: Modeling, estimation and diagnostics
Cited in
(9)- Large stochastic volatility in mean VARs
- Pitfalls of estimating the marginal likelihood using the modified harmonic mean
- Particle learning for fat-tailed distributions
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
- Fast computation of the deviance information criterion for latent variable models
- A simple and efficient simulation smoother for state space time series analysis
- Efficient importance sampling in mixture frameworks
- Simulation smoothing for state-space models: a computational efficiency analysis
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