Efficient simulation and integrated likelihood estimation in state space models.
Joshua C. C. ChanIvan JeliazkovPublished in: Int. J. Math. Model. Numer. Optimisation (2009)
Keyphrases
- state space
- monte carlo simulation
- parameter estimation
- parametric models
- bayesian framework
- simulation models
- prior knowledge
- probabilistic model
- maximum likelihood
- analytical model
- model fitting
- complex systems
- mathematical models
- dynamical systems
- mathematical model
- accurate estimation
- computational models
- statistical models
- data sets
- computationally efficient
- model selection
- particle filter
- markov chain
- search space