For some of my current projects, I'm probably going to need to eventually estimate some models using Metropolis-Hastings sampling. I understand the basic concepts, and the software I use (R) has ...
In this example, the log likelihood function of the SSM is computed using prediction error decomposition. The annual real GNP series, y t, can be decomposed as where ...
There are two methods of computing confidence intervals for the regression parameters. One is based on the profile likelihood function, and the other is based on the asymptotic normality of the ...
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