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

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