A simple and efficient simulation smoother for state space time series analysis

DOI10.1093/BIOMET/89.3.603zbMATH Open1036.62071OpenAlexW2152135597MaRDI QIDQ4455356FDOQ4455356

Authors: James Durbin, Siem Jan Koopman 

Publication date: 16 March 2004

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a4e2c06d0982b8320e930f960e999315a0c117b5

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zbMATH Keywords

Kalman filterMarkov chain Monte Carloimportance samplingGibbs samplingdiffuse initialisationdisturbance smoothing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20)

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Uses Software

• SsfPack

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