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