Partial non-Gaussian state space

Maximum Likelihood from Incomplete Data Via the EM Algorithm

1977 • 46,601 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1991 • 5,040 citations

Markov Chains for Exploring Posterior Distributions

1994 • 3,493 citations

Bayesian Forecasting and Dynamic Models

1997 • 2,027 citations

On Gibbs sampling for state space models

1994 • 1,971 citations

Stochastic Simulation

1987 • 1,835 citations

Bayesian Computation Via the Gibbs Sampler and Related Markov Chain Monte Carlo Methods

1993 • 1,659 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Nonlinear Bayesian estimation using Gaussian sum approximations

1972 • 1,188 citations

A Monte Carlo Implementation of the EM Algorithm and the Poor Man's Data Augmentation Algorithms

1990 • 946 citations

DATA AUGMENTATION AND DYNAMIC LINEAR MODELS

1994 • 836 citations

10.2 Maximum Likelihood from Incomplete Data

2024 • 793 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 citations

Tools for Statistical Inference

1997 • 684 citations

A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling

1992 • 540 citations

Pricing European Currency Options: A Comparison of the Modified Black- Scholes Model and a Random Variance Model

1989 • 298 citations

Departures from marginal-cost pricing in the American automobile industry

1981 • 263 citations

Smoothing and Interpolation with the State-Space Model

1989 • 243 citations

Disturbance smoother for state space models

1993 • 209 citations

A Non-Gaussian State Space Model and Application to Prediction of Records

1986 • 148 citations

Fitting nonlinear time-series models with applications to stochastic variance models

1993 • 103 citations

Hedging the risks from writing foreign currency options

1987 • 90 citations

Miscellanea

1992 • 89 citations

Local scale models

1994 • 75 citations

Non-Gaussian seasonal adjustment

1989 • 37 citations