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Efficient learning via simulation: A marginalized resample-move approach
Fulop, Andras
;
Li, Junye
- In:
Journal of Econometrics
176
(
2013
)
2
,
pp. 146-161
In
state–space
models
, parameter learning is practically difficult and is still an open issue. This paper proposes an …
Persistent link: https://www.econbiz.de/10010682473
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2
The HESSIAN method: Highly efficient simulation smoothing, in a nutshell
McCausland, William J.
- In:
Journal of Econometrics
168
(
2012
)
2
,
pp. 189-206
simulation smoothing in
state
space
models
with univariate states. Given a vector θ of parameters, the vector of states α=(α1 …
Persistent link: https://www.econbiz.de/10011052248
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