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

Sylvia Frühwirth-Schnatter

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

Zitat

@inbook{c29a04502e3b4bbaabb5149a3150e944,

title = "Efficient Bayesian parameter estimation for state space models based on reparameterizations",

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.",

author = "Sylvia Fr{\"u}hwirth-Schnatter",

year = "2004",

month = oct,

day = "1",

language = "English",

isbn = "ISBN-10: 05218359",

pages = "123 -- 151",

editor = "\{A. Harvey, S.J. Koopman, N. Shephard\}",

booktitle = "State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin",

publisher = "Cambridge University Press",

address = "United Kingdom",

}

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

TY - CHAP

T1 - Efficient Bayesian parameter estimation for state space models based on reparameterizations

AU - Frühwirth-Schnatter, Sylvia

PY - 2004/10/1

Y1 - 2004/10/1

N2 - 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.

AB - 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.

M3 - Chapter in edited volume

SN - ISBN-10: 05218359

SP - 123

EP - 151

BT - State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin

A2 - A. Harvey, S.J. Koopman, N. Shephard, null

PB - Cambridge University Press

CY - Cambridge

ER -