Estimation of state-space models with endogenous Markov regime-switching parameters (Q5093222)
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scientific article; zbMATH DE number 7563580
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of state-space models with endogenous Markov regime-switching parameters |
scientific article; zbMATH DE number 7563580 |
Statements
Estimation of state-space models with endogenous Markov regime-switching parameters (English)
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26 July 2022
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Bayesian Markov chain Monte Carlo estimation
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dynamic Nelson-Siegel model
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marginal likelihood
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particle filter
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predictive accuracy
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