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

DOI10.1080/07350015.2014.925807MaRDI QIDQ6667014zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.1080/07350015.2014.925807

Mathematics Subject Classification ID

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

Cited in

(4)

• Time-varying correlations in multivariate unobserved components time series models
• Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
• Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation
• Efficient Importance Variational Approximations for State Space Models

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