scholarly journals Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space Models with Applications to DSGE, DSGE-VAR, and VAR Models

2016 ◽  
Vol 32 (1) ◽  
pp. 103-119 ◽  
Author(s):  
Anders Warne ◽  
Günter Coenen ◽  
Kai Christoffel
Keyword(s):  
State Space ◽  
State Space Models ◽  
Gaussian State ◽  
Var Models ◽  
Predictive Likelihood

scholarly journals DETECTION LIMITS FOR LINEAR NON-GAUSSIAN STATE-SPACE MODELS

2006 ◽  
Vol 39 (13) ◽  
pp. 282-287 ◽  
Author(s):  
Gustaf Hendeby ◽  
Fredrik Gustafsson
Keyword(s):  
State Space ◽  
Detection Limits ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian

scholarly journals Predicting crypto-currencies using sparse non-Gaussian state space models

2018 ◽  
Vol 37 (6) ◽  
pp. 627-640 ◽  
Author(s):  
Christian Hotz-Behofsits ◽  
Florian Huber ◽  
Thomas Otto Zörner
Keyword(s):  
State Space ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian

Efficient estimation of conditionally linear and Gaussian state space models

2014 ◽  
Vol 124 (3) ◽  
pp. 494-499 ◽  
Author(s):  
Guilherme V. Moura ◽  
Douglas Eduardo Turatti
Keyword(s):  
State Space ◽  
State Space Models ◽  
Efficient Estimation ◽  
Gaussian State
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