Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models
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References listed on IDEAS
- Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521785167, December.
- Ruppert,David & Wand,M. P. & Carroll,R. J., 2003. "Semiparametric Regression," Cambridge Books, Cambridge University Press, number 9780521780506, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Christian Brinch, 2012. "Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling," Computational Statistics, Springer, vol. 27(1), pages 13-28, March.
- Picchini, Umberto & Ditlevsen, Susanne, 2011. "Practical estimation of high dimensional stochastic differential mixed-effects models," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1426-1444, March.
- repec:eee:ecomod:v:222:y:2011:i:8:p:1394-1400 is not listed on IDEAS
- Skaug, Hans J. & Yu, Jun, 2014. "A flexible and automated likelihood based framework for inference in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 642-654.
- Hans J. Skaug & Jun Yu, 2009. "Automated Likelihood Based Inference for Stochastic Volatility Models," Working Papers 15-2009, Singapore Management University, School of Economics.
- Kleppe, Tore Selland & Skaug, Hans Julius, 2012. "Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3105-3119.
- Lee, Woojoo & Lim, Johan & Lee, Youngjo & del Castillo, Joan, 2011. "The hierarchical-likelihood approach to autoregressive stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 248-260, January.
- Kleppe, Tore Selland & Skaug, Hans J., 2008. "Simulated maximum likelihood for general stochastic volatility models: a change of variable approach," MPRA Paper 12022, University Library of Munich, Germany.
- repec:eee:thpobi:v:77:y:2010:i:2:p:119-130 is not listed on IDEAS
- Bellio, Ruggero & Grassetti, Luca, 2011. "Semiparametric stochastic frontier models for clustered data," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 71-83, January.
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