A Class of Non-Gaussian State Space Models With Exact Likelihood Inference

Keyphrases

• Non-Gaussian State Space Model 100%
• Exact Likelihood Inference 100%
• Likelihood Function 66%
• Popular 33%
• Large Classes 33%
• Bayesian Estimation 33%
• Stochastic Processes 33%
• Latent Variables 33%
• Econometrics 33%
• Model Unknown 33%
• High-dimensional Integrals 33%
• Stochastic Volatility 33%
• Nonlinear non-Gaussian 33%
• Latent State 33%
• Stochastic Intensity 33%
• Modeling Volatility 33%
• Stochastic Duration Models 33%
• Frequentist Estimation 33%

Mathematics

• Gaussian Distribution 100%
• Space Model 100%
• Stochastics 66%
• Likelihood Function 66%
• State Variable 66%
• Supplementary Material 33%
• Bayesian 33%
• Stochastic Process 33%
• Frequentist 33%
• Closed Form Solution 33%
• Stochastic Volatility 33%
• Integral 33%

Social Sciences

• Stochastics 100%
• State Space Model 100%
• Volatility 50%
• Latent Variable 25%