Quotation Frühwirth-Schnatter, Sylvia. 2004. Efficient Bayesian parameter estimation for state space models based on reparameterizations. In: State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin, Hrsg. A. Harvey, S.J. Koopman, N. Shephard, 123-151. Cambridge: Cambridge University Press.


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Abstract

This volume offers a broad overview of the latest developments in the theory and applications of state space modeling. With contributions from renowned experts, it offers a unique synthesis of state space methods and unobserved component models, important in a wide range of subjects, including economics, finance, medicine and engineering.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Efficient Bayesian parameter estimation for state space models based on reparameterizations
Title of whole publication State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin
Editor A. Harvey, S.J. Koopman, N. Shephard
Page from 123
Page to 151
Location Cambridge
Publisher Cambridge University Press
Year 2004
ISBN ISBN-10: 05218359

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Frühwirth-Schnatter, Sylvia (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
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