Working paper
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
- Abstract:
-
Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood. We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm. This result has recently been introduced in statistics literature by Andrieu, Doucet, and Holenstein (2007) and is perhaps surprising given the celebrated results on maximum simulated likelihood estimation. Bayesian inference based on simulated likel...
Expand abstract
Actions
Authors
Bibliographic Details
- Publisher:
- Oxford-Man Institute of Quantitative Finance
- Series:
- Working Papers
- Publication date:
- 2008-12-01
Item Description
- Language:
- English
- UUID:
-
uuid:6dcbcf13-07e8-4b38-9c68-be1b7c02987d
- Local pid:
- oai:economics.ouls.ox.ac.uk:12195
- Deposit date:
- 2011-08-15
Related Items
Terms of use
- Copyright date:
- 2008
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record