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Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling

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  • Geweke, John
  • Tanizaki, Hisashi

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  • Geweke, John & Tanizaki, Hisashi, 2001. "Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 151-170, August.
    • Handle: RePEc:eee:csdana:v:37:y:2001:i:2:p:151-170
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    1. Kreps,David M. & Wallis,Kenneth F. (ed.), 1997. "Advances in Economics and Econometrics: Theory and Applications," Cambridge Books, Cambridge University Press, number 9780521589833, December.
    2. John Geweke, "undated". "Posterior Simulators in Econometrics," Computing in Economics and Finance 1996 _019, Society for Computational Economics.
    3. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(3), pages 409-431, August.
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    5. Kreps,David M. & Wallis,Kenneth F. (ed.), 1997. "Advances in Economics and Econometrics: Theory and Applications," Cambridge Books, Cambridge University Press, number 9780521589819, December.
    6. Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800, Elsevier.
    7. Carter, C.K. & Kohn, R., "undated". "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.
    8. Tanizaki, Hisashi & Mariano, Roberto S., 1998. "Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 263-290.
    9. Kreps,David M. & Wallis,Kenneth F. (ed.), 1997. "Advances in Economics and Econometrics: Theory and Applications," Cambridge Books, Cambridge University Press, number 9780521589826, December.
    10. Mariano,Roberto & Schuermann,Til & Weeks,Melvyn J. (ed.), 2000. "Simulation-based Inference in Econometrics," Cambridge Books, Cambridge University Press, number 9780521591126, December.
    11. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    20. Helio Migon & Alexandra Schmidt & Romy Ravines & João Pereira, 2013. "An efficient sampling scheme for dynamic generalized models," Computational Statistics, Springer, vol. 28(5), pages 2267-2293, October.
    21. Na Xia & Qinan Zhi & Menghua He & Yunqing Hong & Huazheng Du, 2020. "A navigation satellite selection algorithm for optimized positioning based on Gibbs sampler," International Journal of Distributed Sensor Networks, , vol. 16(6), pages 15501477209, June.
    22. Hasegawa, Takanori & Niida, Atsushi & Mori, Tomoya & Shimamura, Teppei & Yamaguchi, Rui & Miyano, Satoru & Akutsu, Tatsuya & Imoto, Seiya, 2016. "A likelihood-free filtering method via approximate Bayesian computation in evaluating biological simulation models," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 63-74.

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