Efficient Bayesian parameter estimation for state space models based on reparameterizations

Sylvia Frühwirth-Schnatter

Efficient Bayesian parameter estimation for state space models based on reparameterizations

Statistics and Mathematics

Publikation: Beitrag in Buch/Konferenzband › Beitrag in Sammelwerk

Abstract

This volume offers a broad overview of the latest developments in the theory and applications of state space modeling. With contributions from renowned experts, it offers a unique synthesis of state space methods and unobserved component models, important in a wide range of subjects, including economics, finance, medicine and engineering.

Originalsprache	Englisch
Titel des Sammelwerks	State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin
Herausgeber*innen	A. Harvey, S.J. Koopman, N. Shephard
Erscheinungsort	Cambridge
Verlag	Cambridge University Press
Seiten	123 - 151
ISBN (Print)	ISBN-10: 05218359
Publikationsstatus	Veröffentlicht - 1 Okt. 2004

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Efficient Bayesian parameter estimation for state space models based on reparameterizations. / Frühwirth-Schnatter, Sylvia.
State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin. Hrsg. / A. Harvey, S.J. Koopman, N. Shephard. Cambridge: Cambridge University Press, 2004. S. 123 - 151.

Publikation: Beitrag in Buch/Konferenzband › Beitrag in Sammelwerk

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