| 多变量非线性贝叶斯动态模型的参数估计 |
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| 引用本文： | 王建新,刘福升. 多变量非线性贝叶斯动态模型的参数估计[J]. 经济数学, 2003, 20(3): 72-75 |
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| 作者姓名： | 王建新 刘福升 |
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| 作者单位： | 青岛科技大学数理系,266042;山东科技大学信息科学与工程学院,泰安,271019 |
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| 摘 要： | 本文讨论多变量非线性贝叶斯动态模型参数估计 ,将 Monte Carlo最优法用于极大似然函数 ,得到未知参数和状态变量的估计
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| 关 键 词： | Gibbs抽样 Metropolis-Hastings算法m Mome Carlo最优法 非参数密度估计 |
| 修稿时间： | 2002-10-08 |
ESTIMATION OF UNKNOWN PARAMETERS IN MULTIVARIATE NONLINEAR BAYESIAN DYNAMIC MODELS |
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| Wang Jianxing. ESTIMATION OF UNKNOWN PARAMETERS IN MULTIVARIATE NONLINEAR BAYESIAN DYNAMIC MODELS[J]. Mathematics in Economics, 2003, 20(3): 72-75 |
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| Authors: | Wang Jianxing |
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| Abstract: | In this paper, we estimated the unknown parameters and the state variables which are included in multivariate nonlinear Bayesian dynamic models. Monte Carlo optimization procedure is adopted for maximization of the likelihood founction to obtain precise estimates of the unknown parameters and the state variables simultaneously. |
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| Keywords: | Gibbs sampling Metropolis Hastings algorithm Monte Carlo optimization nonparameteric density estimation |
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