Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
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Publication:3391261
DOI10.1080/10618600.2018.1552154OpenAlexW2345070118WikidataQ128725090 ScholiaQ128725090MaRDI QIDQ3391261
David T. Frazier, Gael M. Martin, Worapree Maneesoonthorn, B. P. M. McCabe, Christian P. Robert Robert
Publication date: 28 March 2022
Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/109455/7/WRAP-auxiliary-likelihood-based-approximate-Bayesian-computation-state-space-models-Robert-2018.pdf
alpha-stable distributionstochastic volatility modelunscented Kalman filterBayesian consistencyasymptotic sufficiencylikelihood-free method
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