Estimation of state-space models with endogenous Markov regime-switching parameters
Kyu H. Kang
| Year of publication: |
2014
|
|---|---|
| Authors: | Kang, Kyu Ho |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 17.2014, 1, p. 56-82
|
| Subject: | Bayesian Markov chain Monte Carlo estimation | Dynamic Nelson–Siegel model | Marginal likelihood | Particle filter | Predictive accuracy | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010498759