Auxiliary likelihood-based approximate Bayesian computation in state space models
Gael M. Martin, Brendon P.M. McCabe, David T. Frazier, Worapree Maneesoonthorn and Christian P. Robert
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Martin, Gael M. ; McCabe, Brendon P. M. ; Frazier, David T. ; Maneesoonthorn, Worapree ; Robert, Christian P. |
| Publisher: |
Victoria : Monash University, Department of Econometrics and Business Statistics |
| Subject: | Likelihood-free methods | latent diffusion models | Bayesian consistency | asymptotic sufficiency | unscented Kalman filter | stochastic volatility | Zustandsraummodell | State space model | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
freely available
| Extent: | 1 Online-Ressource (circa 42 Seiten) Illustrationen |
|---|---|
| Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 16, 09 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011781699