Batch Solution for General State-Space Model

Junichiro Hagiwara ()
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Junichiro Hagiwara: Hokkaido University, Graduate School / Faculty of Information Science and Technology

Chapter Chapter 10 in Time Series Analysis for the State-Space Model with R/Stan, 2021, pp 179-218 from Springer

Abstract: Abstract This chapter describes the batch estimation method for the case wherein a specific number of observations already exist in the general state-space model. This solution uses the Markov chain Monte Carlo (MCMC) method. Recently, the excellent MCMC libraries have become widespread; this book focuses on the explanation using the software Stan. In addition, regarding the technique for improving estimation accuracy, we describe the forward filtering backward sampling (FFBS) algorithm, which uses the Kalman filter as a part of the solution.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-16-0711-0_10

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DOI: 10.1007/978-981-16-0711-0_10

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