Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Research output: Working paperProfessional

Abstract

István Barra, VU University Amsterdam, Duisenberg School of Finance, the Netherlands; Lennart Hoogerheide, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam, the Netherlands
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages36
Publication statusPublished - 2014

Publication series

NameTI Discussion Paper
No.14-118/III

Fingerprint

Netherlands
finance
school

Cite this

@techreport{a172e6e88dbd4cc583b678dccbd254c3,
title = "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models",
abstract = "Istv{\'a}n Barra, VU University Amsterdam, Duisenberg School of Finance, the Netherlands; Lennart Hoogerheide, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andr{\'e} Lucas, VU University Amsterdam, the Netherlands",
author = "I. Barra and L.F. Hoogerheide and S.J. Koopman and A. Lucas",
year = "2014",
language = "English",
series = "TI Discussion Paper",
publisher = "Tinbergen Institute",
number = "14-118/III",
type = "WorkingPaper",
institution = "Tinbergen Institute",

}

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models. / Barra, I.; Hoogerheide, L.F.; Koopman, S.J.; Lucas, A.

Amsterdam : Tinbergen Institute, 2014. (TI Discussion Paper; No. 14-118/III).

Research output: Working paperProfessional

TY - UNPB

T1 - Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

AU - Barra, I.

AU - Hoogerheide, L.F.

AU - Koopman, S.J.

AU - Lucas, A.

PY - 2014

Y1 - 2014

N2 - István Barra, VU University Amsterdam, Duisenberg School of Finance, the Netherlands; Lennart Hoogerheide, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam, the Netherlands

AB - István Barra, VU University Amsterdam, Duisenberg School of Finance, the Netherlands; Lennart Hoogerheide, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam, the Netherlands

M3 - Working paper

T3 - TI Discussion Paper

BT - Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

PB - Tinbergen Institute

CY - Amsterdam

ER -