Simulation smoothing for state-space models: a computational efficiency analysis

DOI10.1016/j.csda.2010.07.009zbMath1247.62238WikidataQ57437736 ScholiaQ57437736MaRDI QIDQ452558

Shirley Miller, Denis Pelletier, William J. McCausland

Publication date: 15 September 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.009

zbMATH Keywords

importance sampling; Markov chain Monte Carlo; count data; high frequency financial data

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62P05: Applications of statistics to actuarial sciences and financial mathematics

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