A simple and efficient simulation smoother for state space time series analysis
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Publication:4455356
DOI10.1093/biomet/89.3.603zbMath1036.62071OpenAlexW2152135597MaRDI QIDQ4455356
Publication date: 16 March 2004
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/a4e2c06d0982b8320e930f960e999315a0c117b5
importance samplingMarkov chain Monte CarloKalman filterGibbs samplingdiffuse initialisationdisturbance smoothing
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)
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