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)

Mathematics Subject Classification ID

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

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