Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Siem Jan Koopman; André Lucas; Marcel Scharth
| Year of publication: |
2015
|
|---|---|
| Authors: | Koopman, Siem Jan ; Lucas, André ; Scharth, Marcel |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 1, p. 114-127
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| Subject: | Control variables | Efficient importance sampling | Kalman filter | Numerical integration | Simulated maximum likelihood | Simulation smoothing | Stochastic volatility model | Simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011389921