Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Siem Jan Koopman; André Lucas; Marcel Scharth
| Year of publication: |
2011
|
|---|---|
| Authors: | Koopman, Siem Jan ; Lucas, André ; Scharth, Marcel |
| Publisher: |
Amsterdam [u.a.] |
| Subject: | Zustandsraummodell | State space model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Multivariate Verteilung | Multivariate distribution | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
| Extent: | 26 S. graph. Darst. |
|---|---|
| Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.], ISSN 0929-0834, ZDB-ID 1336423-6. - Vol. 2011,057 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008938571