Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling
Year of publication: |
August 2015
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Authors: | Nonejad, Nima |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 133.2015, p. 35-39
|
Subject: | Gibbs sampling | Particle filtering | Model comparison | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process |
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