The HESSIAN method: highly efficient simulation smoothing, in a nutshell
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Publication:527930
DOI10.1016/j.jeconom.2011.12.003zbMath1443.62008OpenAlexW1544551959MaRDI QIDQ527930
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407611002752
importance samplingstochastic volatilitystate space modelsduration modelsMCMCcount modelssimulation smoothing
Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)
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Efficient importance sampling in mixture frameworks ⋮ Fast computation of the deviance information criterion for latent variable models ⋮ Large stochastic volatility in mean VARs ⋮ Pitfalls of estimating the marginal likelihood using the modified harmonic mean ⋮ A fast and efficient Markov chain Monte Carlo method for market microstructure model ⋮ Particle Learning for Fat-Tailed Distributions
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