14-118/III - Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

  • Authors
    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
  • Publication date
    September 2, 2014
  • Keywords
    Bayesian inference, importance sampling, Monte Carlo estimation, Metropolis-Hastings algorithm, mixture of Student's t-distributions
  • JEL
    C11, C15, C22, C32, C58