Precision-based sampling for state space models that have no measurement error

DOI10.1016/J.JEDC.2023.104720OpenAlexW4385232656MaRDI QIDQ6094495FDOQ6094495

Authors: Elmar Mertens 

Publication date: 14 September 2023

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104720

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zbMATH Keywords

state space modelssignal extractionband matrixKalman filter and smootherprecision-based sampling

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Time Varying Structural Vector Autoregressions and Monetary Policy
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• On Gibbs sampling for state space models
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• Simulation smoothing for state-space models: a computational efficiency analysis
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• The Solution of Linear Difference Models under Rational Expectations
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• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Business Cycle Accounting
• Efficient simulation and integrated likelihood estimation in state space models
• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Real-time forecast evaluation of DSGE models with stochastic volatility
• A note on implementing the Durbin and Koopman simulation smoother
• Reducing the state space dimension in a large TVP-VAR
• High-dimensional conditionally Gaussian state space models with missing data

Cited In (1)

• Exact Sampling from a Continuous State Space

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