Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models

DOI10.1080/07350015.2014.925807MaRDI QIDQ6667014FDOQ6667014

Authors: Siem Jan Koopman, André Lucas, Marcel Scharth 

Publication date: 20 January 2025

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Point estimation (62F10) Sampling theory, sample surveys (62D05) Statistical methods; risk measures (91G70)

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