The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models
Year of publication: |
2017
|
---|---|
Authors: | Grothe, Oliver |
Other Persons: | Kleppe, Tore Selland (contributor) ; Liesenfeld, Roman (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Stichprobenerhebung | Sampling | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (43 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 20, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2711296 [DOI] |
Classification: | C11 - Bayesian Analysis ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
On importance sampling for state space models
Jungbacker, Borus, (2005)
-
Efficient Importance Sampling Maximum Likelihood Estimation of Stochastic Differential Equations
Rossi, Eduardo, (2011)
-
Malik, Sheheryar, (2011)
- More ...
-
The Gibbs sampler with particle efficient importance sampling for state-space models
Grothe, Oliver, (2019)
-
Efficient high-dimensional importance sampling in mixture frameworks
Kleppe, Tore Selland, (2011)
-
Efficient importance sampling in mixture frameworks
Kleppe, Tore Selland, (2014)
- More ...