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• W1586371885 abstract "A simulation method based on importance sampling and MCMC techniques allows to approximate the likelihood ratio at two different parameter values. Based on this stochastic approximation technique, it is possible to get approximations of the maximum likelihood estimator in the general framework of dynamic latent variable models. Examples of this class of models include factor models, switching regime models, dynamic limited dependent variable models, stochastic volatility models and discretised continuous time models, which all are customarily used on econometrics. We also introduce a rigorous probabilistic setup in order to derive the necessary conditional distributions and several applications show the practical feasibility and the good performance of the proposed approach." @default.
• W1586371885 created "2016-06-24" @default.
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• W1586371885 date "1998-01-01" @default.
• W1586371885 modified "2023-10-02" @default.
• W1586371885 title "The simulated likelihood ratio (SLR) method" @default.
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• W1586371885 hasPublicationYear "1998" @default.
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