The use of approximating models in Monte Carlo maximum likelihood estimation.

DOI10.1016/S0167-7152(99)00074-7MaRDI QIDQ1808687zbMATH OpenOpenAlexFDO

Authors Anthony Yung Cheung Kuk

Publication date 1999

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(99)00074-7

zbMATH Keywords

Conjugate latent processGeneralised linear mixed modelImportance samplingMarginal likelihoodMonte Carlo simulationRandom effects model

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Monte Carlo methods (65C05)

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Cites work

• A regression model for time series of counts
• Estimation in generalized linear models with random effects
• Exponential Family State Space Models Based on a Conjugate Latent Process
• scientific article; zbMATH DE number 3954119 (Why is no real title available?)
• scientific article; zbMATH DE number 509169 (Why is no real title available?)
• scientific article; zbMATH DE number 849933 (Why is no real title available?)
• Marginal Likelihood from the Gibbs Output
• Maximum Likelihood Algorithms for Generalized Linear Mixed Models
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• The simulation smoother for time series models

Cited in

(9)

• The dimension-wise quadrature estimation of dynamic latent variable models for count data
• Likelihood approximation by numerical integration on sparse grids
• Break detection for a class of nonlinear time series models
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• SIMULATED MAXIMUM LIKELIHOOD APPLIED TO NON-GAUSSIAN AND NONLINEAR MIXED EFFECTS AND STATE-SPACE MODELS
• scientific article; zbMATH DE number 2111716 (Why is no real title available?)
• scientific article; zbMATH DE number 2199137 (Why is no real title available?)
• Monte Carlo State-Space Likelihoods by Weighted Posterior Kernel Density Estimation
• An alternative derivation of the Kalman filter using the quasi-likelihood method

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