Monte Carlo maximum likelihood estimation for non-Gaussian state space models

10.1093/biomet/84.3.669 ◽

1997 ◽

Vol 84 (3) ◽

pp. 669-684 ◽

Author(s):

J Durbin

Keyword(s):

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Gaussian State ◽

Monte Carlo Maximum Likelihood ◽

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Automatic numerical differentiation by maximum likelihood estimation of a linear Gaussian state space model

2019 18th European Control Conference (ECC) ◽

10.23919/ecc.2019.8795960 ◽

2019 ◽

Author(s):

Robert Piche

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

State Space Model ◽

Likelihood Estimation ◽

Numerical Differentiation ◽

Gaussian State ◽

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Maximum Likelihood estimation of state space models from frequency domain data

2007 European Control Conference (ECC) ◽

10.23919/ecc.2007.7068439 ◽

2007 ◽

Author(s):

Adrian Wills ◽

Brett Ninness ◽

Stuart Gibson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Frequency Domain ◽

Likelihood Estimation ◽

State Space Models

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Maximum Likelihood Estimation of State-Space Models

Springer Series in Statistics - An Introduction to Sequential Monte Carlo ◽

10.1007/978-3-030-47845-2_14 ◽

2020 ◽

pp. 251-277

Author(s):

Nicolas Chopin ◽

Omiros Papaspiliopoulos

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models

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Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

Electronic Journal of Statistics ◽

10.1214/19-ejs1636 ◽

2019 ◽

Vol 13 (2) ◽

pp. 5151-5212 ◽

Author(s):

Vicky Fasen-Hartmann ◽

Markus Scholz

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Continuous Time ◽

Likelihood Estimation ◽

State Space Models ◽

Low Frequencies ◽

Quasi Maximum Likelihood ◽

Linear State ◽

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Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Journal of Time Series Analysis ◽

10.1111/jtsa.12571 ◽

2020 ◽

Author(s):

Adrian Pizzinga ◽

Marcelo Fernandes

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Invariance Property

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Maximum Likelihood Estimation of Parameters in State-Space Models

Modeling and Control of Economic Systems 2001 ◽

10.1016/b978-008043858-0/50018-8 ◽

2003 ◽

pp. 105-109

Author(s):

Jan Vlček

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

State Space ◽

Likelihood Estimation ◽

State Space Models ◽

Estimation Of Parameters

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Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models

10.1093/biomet/asm074 ◽

2007 ◽

Vol 94 (4) ◽

pp. 827-839 ◽

Author(s):

B. Jungbacker ◽

S. J. Koopman

Keyword(s):

Monte Carlo ◽

State Space ◽

State Space Models ◽

Gaussian State ◽

Monte Carlo Estimation ◽

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Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

The Annals of Statistics ◽

10.1214/07-aos550 ◽

2009 ◽

Vol 37 (1) ◽

pp. 223-245 ◽

Author(s):

Alexandros Beskos ◽

Omiros Papaspiliopoulos ◽

Gareth Roberts

Keyword(s):

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Diffusion Processes ◽

Likelihood Estimation ◽

Monte Carlo Maximum Likelihood

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The use of approximating models in Monte Carlo maximum likelihood estimation

Statistics & Probability Letters ◽

10.1016/s0167-7152(99)00074-7 ◽

1999 ◽

Vol 45 (4) ◽

pp. 325-333 ◽

Author(s):

Anthony Y.C Kuk

Keyword(s):

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Monte Carlo Maximum Likelihood

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Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Econometric Reviews ◽

10.1080/07474938.2015.1031014 ◽

2015 ◽

Vol 35 (4) ◽

pp. 659-687

Author(s):

G. Mesters ◽

S. J. Koopman ◽

M. Ooms

Keyword(s):

Time Series ◽

Monte Carlo ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Long Memory ◽

Likelihood Estimation ◽

Time Series Models ◽

Memory Time ◽

Monte Carlo Maximum Likelihood

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