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Markov Chain Monte Carlo in Conditionally Gaussian State Space Models

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  • Carter, C.K.
  • Kohn, R.

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Bibliographic Info

Paper provided by Australian Graduate School of Management in its series Statistics Working Paper with number _003.

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Handle: RePEc:wop:agsmst:_003

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Postal: Sydney, NSW 2052
Web page: http://www.agsm.edu.au/
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Cited by:
  1. Bos, C.S. & Mahieu, R.J. & Dijk, H.K. van, 2000. "Daily exchange rate behaviour and hedging of currency risk," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3131740, Tilburg University.
  2. Hisashi Tanizaki, 2001. "Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 63-81, March.
  3. Tsiaplias, Sarantis, 2008. "Factor estimation using MCMC-based Kalman filter methods," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 344-353, December.
  4. Hisashi Tanizaki & Shigeyuki Hamori, 2009. "Volatility transmission between Japan, UK and USA in daily stock returns," Empirical Economics, Springer, vol. 36(1), pages 27-54, February.
  5. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
  6. Dongchu Sun & Paul Speckman, 2008. "Bayesian hierarchical linear mixed models for additive smoothing splines," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(3), pages 499-517, September.
  7. Yu Yue & Paul Speckman & Dongchu Sun, 2012. "Priors for Bayesian adaptive spline smoothing," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(3), pages 577-613, June.
  8. Michael K Pitt & Neil Shephard, . "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
  9. Niclas Bergman & Arnaud Doucet & Neil Gordon, 2001. "Optimal Estimation and Cramér-Rao Bounds for Partial Non-Gaussian State Space Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 97-112, March.
  10. Sylvia Frühwirth-Schnatter, 2001. "Fully Bayesian Analysis of Switching Gaussian State Space Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(1), pages 31-49, March.

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