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What is Bayesian Parameter Estimation in Models about?
This document summarizes Bayesian estimation methods for parameters in state space models. It discusses batch Bayesian estimation, filtering-based Bayesian estimation using the prediction error decomposition, approximating the posterior distribution using maximum a posteriori estimates and Laplace approximations, Markov chain Monte Carlo methods like Metropolis-Hastings, and the expectation-maximization algorithm.
- Author
- Trinh Vtn
- Language
- EN