Search Results - subject:"Laplace method"

Bellman filtering for state-space models

Lange, Rutger Jan - 2021

This article presents a filter for state-space models based on Bellman's dynamic programming principle applied to the mode estimator. The proposed Bellman filter (BF) generalises the Kalman filter (KF) including its extended and iterated versions, while remaining equally inexpensive...

Persistent link: https://www.econbiz.de/10012427152

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011995230

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011945700

The marginal likelihood of Structural Time Series Models, with application to the euroareaa nd US NAIRU

Planas, Christophe; Rossi, Alessandro; Fiorentini, Gabriele - Rimini Centre for Economic Analysis (RCEA) - 2008

that marginalizing out the variance parameters greatly improves the accuracy of the Laplace method. We apply this …

Persistent link: https://www.econbiz.de/10005091121

The marginal likelihood of dynamic mixture models

Fiorentini, G.; Planas, C.; Rossi, A. - In: Computational Statistics & Data Analysis 56 (2012) 9, pp. 2650-2662

estimators, namely, the Laplace method, the Chib estimator, reciprocal importance sampling, and bridge sampling. For some …

Persistent link: https://www.econbiz.de/10010574452

Small Noise Asymptotics of the Bayesian Estimator in Nonidentifiable Models

Joannides, Marc; Gland, François Le - In: Statistical Inference for Stochastic Processes 5 (2002) 1, pp. 95-130

Persistent link: https://www.econbiz.de/10005616043

On the maximum entropy principle for a class of stochastic processes

Horsthemke, Benedikt; Rüttermann, Markus - In: Stochastic Processes and their Applications 56 (1995) 1, pp. 117-132

This paper extends results of Bolthausen and Schmock on the asymptotical behaviour of certain Laplace-type transformations of Markov chains in two aspects: First we consider transformations of a more general class of processes which satisfy an Orey-type fading condition and secondly we study...

Persistent link: https://www.econbiz.de/10008873080