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Search: subject:"Laplace method"
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Laplace method
6
Stiefel manifold
2
cointegration
2
dynamic factor model
2
filtering
2
matrix Langevin distribution
2
smoothing
2
state-space models
2
60F10 60F05 60K35 Maximum entropy principle
1
Bayesian estimator
1
Bayesian model selection
1
Bridge sampling
1
Chib method
1
Cointegration
1
Estimation theory
1
Kalman filter
1
Kointegration
1
Large deviations Laplace's method Conditional limit theorem Empirical process Conditional expectation Weak convergence Fading condition
1
Marginal likelihood
1
Markov Chain Monte Carlo
1
Markov switching models
1
NAIRU
1
NAIS
1
Nichtlineare Regression
1
Nonlinear regression
1
Reciprocal importance sampling
1
Schätztheorie
1
State space model
1
State space models
1
Time series analysis
1
Viterbi algorithm
1
Zeitreihenanalyse
1
Zustandsraummodell
1
bridge sampling
1
curse of dimensionality
1
dynamic programming
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importance sampling
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maximum a posteriori (MAP) estimate
1
nonidentifiable model
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nonlinear filtering
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Bauwens, Luc
2
Yang, Yukai
2
Fiorentini, G.
1
Fiorentini, Gabriele
1
Gland, François Le
1
Horsthemke, Benedikt
1
Joannides, Marc
1
Lange, Rutger Jan
1
Planas, C.
1
Planas, Christophe
1
Rossi, A.
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Rossi, Alessandro
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Rüttermann, Markus
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RePEc
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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
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
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/10011945700
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
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