The marginal likelihood of dynamic mixture models
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Cites work
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
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- A unified approach to nonlinearity, structural change, and outliers
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- Bayes Factors
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- Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
- Bayesian Methods for Hidden Markov Models
- Calculating posterior distributions and modal estimates in Markov mixture models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Efficient Bayesian Inference for Dynamic Mixture Models
- Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Exact mean integrated squared error
- Finite mixture and Markov switching models.
- scientific article; zbMATH DE number 6114089 (Why is no real title available?)
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 597911 (Why is no real title available?)
- scientific article; zbMATH DE number 720685 (Why is no real title available?)
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- Marginal Likelihood from the Gibbs Output
- Marginal Likelihood From the Metropolis–Hastings Output
- On Gibbs sampling for state space models
- On marginal likelihood computation in change-point models
- Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
- Solutions to linear rational expectations models: a compact exposition
- Solving linear rational expectations models: A horse race
- Tailored randomized block MCMC methods with application to DSGE models
- The diffuse Kalman filter
- Three Multidimensional-integral Identities with Bayesian Applications
- Time series analysis by state space methods
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- Using simulation methods for bayesian econometric models: inference, development,and communication
Cited in
(10)- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Dynamic linkages for multivariate distributions with given nonoverlapping multivariate marginals
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- The dimension-wise quadrature estimation of dynamic latent variable models for count data
- Keeping the balance -- bridge sampling for marginal likelihood estimation in finite mixture, mixture of experts and Markov mixture models
- The marginal likelihood for parameters in a discrete Gauss-Markov process
- Marginal likelihood integrals for mixtures of independence models
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- scientific article; zbMATH DE number 2060198 (Why is no real title available?)
- Pitfalls of estimating the marginal likelihood using the modified harmonic mean
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