Sequential Monte Carlo Sampling for State Space Models

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples

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Year of publication:	2016
Authors:	Wuthrich, Mario V.
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Stichprobenerhebung \| Sampling \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Zustandsraummodell \| State space model \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis

Extent:	1 Online-Ressource (24 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 25, 2016 erstellt
Other identifiers:	10.2139/ssrn.2769748 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012993836