Nonlinear Latent Variable Models

References

Books 

Berger, J. O. (1985). Statistical Decision Theory and Bayesian Analysis. Springer Series in Statistics (Second ed.). Springer Verlag 

[Koo07] Koop, G., Dale J. P., Tobias, J. L. (2007) Bayesian Econometric Methods, Cambridge University Press 

[Lan04] Lancaster, T. (2004) An Introduction to Modern Bayesian Econometrics, Blackwell Publishing 

[Rob01] Robert, C. P. (2001). The Bayesian Choice – A Decision-Theoretic Motivation (second ed.). Springer Verlag 

[PolWesHar94] Pole, A., West, M. and Harrison, P. J. Applied Bayesian Forecasting and Time Series Analysis, Chapman-Hall, 1994

[WesHar97] West, M. and Harrison, P. J. Bayesian Forecasting and Dynamic Models, Springer-Verlag, 1997 

Papers

[JacPolRos94] Bayesian Analysis of Stochastic Volatility Models

[JacPolRos99] Stochastic Volatility: Univariate and Multivariate Extensions 

[AsaMcA09] Multivariate Stochastic Volatility, Leverage and News Impact Surfaces

[JacPolRos99] Stochastic Volatility: Univariate and Multivariate Extensions

[HauFuy10] Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model 

[LopPol10] Bayesian Inference for Stochastic Volatility Modeling

[SmiLes02] A Bayesian Probit Model with Spatial Dependencies 

[StrOgn10] Bayesian Inference for Discretely Sampled Diffusion Processes: A New MCMC?Based Approach to Inference

[Wil06] Bayesian inference for nonlinear multivariate diffusion processes

[CasDalLei10] Bayesian Model Selection for Beta Autoregressive Processes

[LopSal03] Bayesian Inference and Selectioin in Smooth Transition Autoregressive Models Markov-switching Processes 

[BilCas09] Bayesian Analysis of Stochastic-transition Markov-switching Models for the Business Cycle

[PuuKos07] Bayesian Modelling of Financial Guarantee Insurance

[JocKopLeoStr10] Stochastic Search Variable Selection in Vector Error Correction Models with an Application to Macroeconomy 

Resources

Comprehensive R Archive Network (CRAN) 

Gary Koop's Research Page