Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter (Q5860961)
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scientific article; zbMATH DE number 7484492
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter |
scientific article; zbMATH DE number 7484492 |
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Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter (English)
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4 March 2022
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state space model
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auxiliary particle filter
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maximum likelihood estimation
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posterior sampling
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