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

DOI10.1093/BIOMET/84.3.669MaRDI QIDQ4364934zbMATH OpenOpenAlexFDO

Authors James Durbin, Siem Jan Koopman

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

antithetic variablecontrol variableexponential family distributionheavy-tailed distributionimportance samplingKalman filteringMonte Carlo simulationnon-Gaussian time series modelsmoothing

Mathematics Subject Classification ID

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

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