The Hessian Method (Highly Efficient State Smoothing, In a Nutshell)
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- McCAUSLAND, William, 2008. "The Hessian Method (Highly Efficient State Smoothing, In a Nutshell)," Cahiers de recherche 2008-03, Universite de Montreal, Departement de sciences economiques.
References listed on IDEAS
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
- McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007.
"A New Approach to Drawing States in State Space Models,"
Cahiers de recherche
07-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- William J. McCausland & Shirley Miller & Denis Pelletier, 2007. "A New Approach to Drawing States in State Space Models," Working Paper Series 014, North Carolina State University, Department of Economics, revised Aug 2007.
- McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007. "A New Approach to Drawing States in State Space Models," Cahiers de recherche 2007-06, Universite de Montreal, Departement de sciences economiques.
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- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
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- Håvard Rue & Ingelin Steinsland & Sveinung Erland, 2004. "Approximating hidden Gaussian Markov random fields," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(4), pages 877-892.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- McCausland, William J. & Miller, Shirley & Pelletier, Denis, 2011. "Simulation smoothing for state-space models: A computational efficiency analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 199-212, January.
- Chan, Joshua & Strachan, Rodney, 2012.
"Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods,"
39360, University Library of Munich, Germany.
- Joshua Chan & Rodney Strachan, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers 2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
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