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 ...

A singularity identified by Nguyen, Rogers & Walker (1984) in the log likelihood function for a change-point hazard rate model is eliminated if the likelihood function is appropriately defined.

This is a preview. Log in through your library . Abstract This paper derives the explicit expressions for the determinant and exact inverse of the covariance matrix of a multivariate autoregressive ...

This example calculates confidence intervals based on the profile likelihood for the parameters estimated in the previous example. The following introduction on profile-likelihood methods is based on ...