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Monte Carlo Maximum Likelihood in Model-Based Geostatistics

✍ Scribed by Christensen, Ole F


Book ID
121236416
Publisher
American Statistical Association
Year
2004
Tongue
English
Weight
337 KB
Volume
13
Category
Article
ISSN
1061-8600

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To obtain the likelihood of a non-Gaussian state-space model, Durbin and Koopman (1997, Biometrika, 84, 669 -684) ΓΏrst calculate the likelihood under an approximating linear Gaussian model and then use Monte Carlo methods to estimate the necessary adjustment factor. We show that Durbin and Koopman's