The simulation smoother for time series models

DOI10.1093/BIOMET/82.2.339zbMATH Open0823.62072OpenAlexW1994823593MaRDI QIDQ4842928FDOQ4842928

Authors: Piet de Jong, Neil Shephard 

Publication date: 16 August 1995

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/82.2.339

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zbMATH Keywords

Kalman filterBayesian analysisGibbs samplingsimulation smoothernon-Gaussian time series modelsGaussian state space time seriesposterior density of states

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• AS 287

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