Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Year of publication: |
1998
|
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Authors: | Durbin, J. ; Koopman, S.J.M. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | Antithetic variables | Conditional and posterior statistics | Exponential family distributions | Heavy-tailed distributions | Importance sampling | Kalman filtering and smoothing | Monte Carlo simulation | Non-Gaussian time series models | Posterior distributions |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 1998-142 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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