Monte Carlo Smoothing for Nonlinear Time Series

DOI10.1198/016214504000000151zbMath1089.62517OpenAlexW1988827501MaRDI QIDQ5474414

Mike West, Arnaud Doucet, Simon J. Godsill

Publication date: 26 June 2006

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214504000000151

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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