Approximate Bayesian computation in state space models
Gael M. Martin, Brendan P.M. McCabe, Worapree Maneesoonrhorn and Christian P. Roberts
| Year of publication: |
September 2014
|
|---|---|
| Authors: | Martin, Gael M. ; McCabe, Brendan Peter Martin ; Maneesoonthorn, Worapree ; Roberts, Christian P. |
| Publisher: |
Victoria : Monash University, Department of Econometrics and Business Statistics |
| Subject: | Likelihood-free methods | latent diffusion models | linear Gaussian state spacemodels | asymptotic sufficiency | unscented Kalman filter | stochastic volatility | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
freely available