Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models

DOI10.1093/biomet/asm074zbMath1156.62350OpenAlexW2138785270MaRDI 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

zbMATH Keywords

importance samplingMarkov chain Monte CarloKalman filteringNewton-Raphsonstochastic volatility modelsimulation smoothingposterior mode

Mathematics Subject Classification ID

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