On Importance Sampling for State Space Models

lpha) and a linear Gaussian state alpha ~ p(alpha). The importance density is chosen to be the Laplace approximation of the smoothing density p(alpha

Year of publication:	2005
Authors:	Jungbacker, Borus ; Koopman, Siem Jan
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Kalman filter \| Likelihood function \| Monte Carlo integration \| Newton-Raphson \| Posterior mode estimation \| Simulation smoothing \| Stochastic volatility model

Series:	Tinbergen Institute Discussion Paper ; 05-117/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	837393876 [GVK] hdl:10419/86445 [Handle] RePEc:dgr:uvatin:20050117 [RePEc]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010325405