Monte Carlo maximum likelihood estimation for non-Gaussian state space models

DOI10.1093/biomet/84.3.669zbMath0888.62086OpenAlexW1990511164MaRDI QIDQ4364934

Siem Jan Koopman, J. Durbin

Publication date: 2 June 1998

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/07008471da7a4a30f6d196040e28e7bb6c96b157

zbMATH Keywords

smoothingimportance samplingMonte Carlo simulationheavy-tailed distributionKalman filteringcontrol variableexponential family distributionantithetic variablenon-Gaussian time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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