Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
István Barra, Lennart Hoogerheide, Siem Jan Koopman and André Lucas
| Year of publication: |
August 2017
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| Authors: | Barra, István ; Hoogerheide, Lennart ; Koopman, Siem Jan ; Lucas, André |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 32.2017, 5, p. 1003-1026
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| Subject: | Bayesian inference | importance sampling | Monte Carlo estimation | Metropolis-Hastings algorithm | mixture of Student's t-distributions | Bayes-Statistik | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Zustandsraummodell | State space model | Stichprobenerhebung | Sampling | Algorithmus | Algorithm | Schätzung | Estimation |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2533 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011862307