27 citations · 74 across the 13 of their papers we have counts for
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math.ST2014
Approximate Bayesian Computation in State Space Models
Gael M. Martin, Brendan P. M. McCabe, Worapree Maneesoonthorn +1
A new approach to inference in state space models is proposed, based on approximate Bayesian computation (ABC). ABC avoids evaluation of the likelihood function by matching observe…
math.ST2014
Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
Gael M. Martin, Kanchana Nadarajah, D. S. Poskitt
We provide a comprehensive set of new results on the impact of mis-specifying the short run dynamics in fractionally integrated processes. We show that four alternative parametric…