Efficient simulation and integrated likelihood estimation in state space models

DOI10.1504/IJMMNO.2009.030090zbMath1182.65008OpenAlexW2010338547MaRDI QIDQ2655891

Joshua C. C. Chan, Ivan Jeliazkov

Publication date: 26 January 2010

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmmno.2009.030090

zbMATH Keywords

algorithmsnumerical examplesMarkov chain Monte CarloKalman filtermacroeconomicsBayesian estimationdynamic factor modelbanded matrixtime-varying parameter modelstate smoothingcollapsed sampler

Mathematics Subject Classification ID

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Uses Software

• GMRFLib

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