Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
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Publication:3606638
DOI10.1093/biomet/asm074zbMath1156.62350MaRDI QIDQ3606638
B. Jungbacker, Siem Jan Koopman
Publication date: 26 February 2009
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/asm074
importance sampling; Markov chain Monte Carlo; Kalman filtering; Newton-Raphson; stochastic volatility model; simulation smoothing; posterior mode
62M20: Inference from stochastic processes and prediction
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
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