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

Institute for Statistics and Mathematics

Publication: Chapter in book/Conference proceeding › Chapter in edited volume

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.

Original language	English
Title of host publication	State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin
Editors	A. Harvey, S.J. Koopman, N. Shephard
Place of Publication	Cambridge
Publisher	Cambridge University Press
Pages	123 - 151
ISBN (Print)	ISBN-10: 05218359
Publication status	Published - 1 Oct 2004

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

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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. ed. / A. Harvey, S.J. Koopman, N. Shephard. Cambridge: Cambridge University Press, 2004. p. 123 - 151.

Publication: Chapter in book/Conference proceeding › Chapter in edited volume

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