MCMC, likelihood estimation and identifiability problems in DLM models
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References listed on IDEAS
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
Oxford University Press,
edition 2, number 9780199641178.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Philippe Robert-Demontrond & R. Ringoot, 2004. "Introduction," Post-Print halshs-00081823, HAL.
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KeywordsBayesian Statistics; DLM Models; Markov chain Monte Carlo; Maximum Likelihood; Model Identification.;
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