Download Ebook BookState-Space Models with Regime Switching Classical and Gibbs-Sampling Approaches with Applications (MIT Press)

[Download.84v8] State-Space Models with Regime Switching Classical and Gibbs-Sampling Approaches with Applications (MIT Press)

[Download.84v8] State-Space Models with Regime Switching Classical and Gibbs-Sampling Approaches with Applications (MIT Press)

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Book Details :
Published on: 1999-05-13
Released on: 1999-05-13
Original language:

Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns. The Gaussian Processes Web Site Books. Gaussian Processes for Machine Learning Carl Edward Rasmussen and Chris Williams the MIT Press 2006 online version. Statistical Interpolation of Spatial ... Machine Learning Group Publications - University of Cambridge Matej Balog Balaji Lakshminarayanan Zoubin Ghahramani Daniel M. Roy and Yee Whye Teh. The Mondrian kernel. In 32nd Conference on Uncertainty in Artificial ... Publications Page - Cambridge Machine Learning Group [ full BibTeX file] 2017 2016. Matej Balog Alexander L. Gaunt Marc Brockschmidt Sebastian Nowozin and Daniel Tarlow. DeepCoder: Learning to write programs.
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