A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models,Journal of Statistical Computation and Simulation

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A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models
Journal of Statistical Computation and Simulation ( IF 1.2 ) Pub Date : 2023-12-22 , DOI: 10.1080/00949655.2023.2294098
Daniele Tancini ₁ , Francesco Bartolucci ₁ , Silvia Pandolfi ₁

Affiliation

We provide a comparison between marginal likelihood and data augmented Markov chain Monte Carlo (MCMC) algorithms for Bayesian estimation of hidden Markov models. In particular, we focus on a speci...

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