Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter

Keyphrases

• Markov Switching 100%
• Dynamic Linear Model 100%
• Switching Parameters 100%
• Likelihood-free Inference 100%
• Kim Filter 100%
• Filter Method 50%
• Auxiliary Particle Filter 37%
• Filter Approximation 37%
• Maximum Likelihood Estimation 25%
• Approximation Error 25%
• Bayesian Estimation 25%
• Numerical Methods 12%
• Computing Time 12%
• Markov Regime Switching 12%
• Numerical Error 12%
• Likelihood Calculation 12%
• Posterior Simulation 12%
• Bayesian Perspective 12%

Mathematics

• Linear Models 100%
• Filter Method 100%
• Approximation Error 50%
• Bayesian Estimation 50%
• Maximum Likelihood 50%
• Likelihood Value 25%
• Bayesian Perspective 25%
• Mathematical Method 25%