Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models.
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 statistic...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Cambridge University Press
2011
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