Auxiliary mixture sampling for parameter-driven models of time series of counts with applications to state space modelling
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Summary
A new auxiliary mixture sampler is suggested, which possesses a Gibbsian transition kernel, where it is shown that auxiliary mixture sampling may be applied to a wider range of parameter-driven models, including random-effects models and panel data models based on the Poisson distribution.
- Type
- article
- Published
- 2006-12-01
- Cited by
- 133
- References
- 45
- OpenAlex
- https://openalex.org/W1971932180
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:16056463
Keywords
Mathematics, Markov chain Monte Carlo, Series (stratigraphy), State space, Kernel (algebra)
References
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- Dynamic Generalized Linear Models and Bayesian Forecasting
- Data Augmentation and Dynamic Linear Models
- Monte Carlo Statistical Methods
- The simulation smoother for time series models
- Generalized linear models with random e ects: a Gibbs sampling approach
- Markov regression models for time series: a quasi-likelihood approach.
- Monte Carlo Methods in Bayesian Computation
- Monte Carlo Methods in Bayesian Computation
- The Art of Data Augmentation
- Likelihood analysis of non-Gaussian measurement time series
- A Bayesian Analysis of a Poisson Random Effects Model for Home Run Hitters
- Maximum-penalized-likelihood estimation for independent and Markov-dependent mixture models.
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- Econometric Modelling with Time Series: Specification, Estimation and Testing
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- Adaptive Monte Carlo for Bayesian Variable Selection in Regression Models
- Variational Bayes for Elaborate Distributions
- An anatomy of industry merger waves
- Cloud Incident Data Analytics: Change-Point Analysis and Text Visualization
- Efficient estimation and particle filter for max‐stable processes
- Structural Change in U.S. Presidents' Use of Force
- The HESSIAN method: Highly efficient simulation smoothing, in a nutshell
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Mean field variational bayes for elaborate distributions
- An Assessment of Alternative State Space Models for Count Time Series
- Random‐effects models for migration attractivity and retentivity: a Bayesian methodology
- Dynamic Modeling of Multivariate Counts - Fitting, Diagnostics, and Applications
- Modelling Time Series of Counts in Epidemiology
- Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods
- To Center or Not to Center: That Is Not the Question—An Ancillarity–Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Efficiency
- Bayesian Nonparametric Regression Analysis of Data with Random Effects Covariates from Longitudinal Measurements
- Moments in time: Temporal patterns in the effect of democracy and trade on conflict
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