Strickland, Chris M.; Turner, Ian. W.; Denham, Robert; … - In: Computational Statistics & Data Analysis 53 (2009) 12, pp. 4116-4125
A Bayesian Markov chain Monte Carlo methodology is developed for the estimation of multivariate linear Gaussian state space models. In particular, an efficient simulation smoothing algorithm is proposed that makes use of the univariate representation of the state space model. Substantial gains...