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~person:"Koopman, Siem Jan"
~subject:"HJM models"
~subject:"Volatilität"
~subject:"exponential smoothing"
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importance sampling
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Koopman, Siem Jan
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Numerically accelerated importance sampling for nonlinear non-Gaussian
state
space
models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
-
2012
We introduce a new efficient importance sampler for nonlinear non-Gaussian
state
space
models
. We propose a general and …
Persistent link: https://www.econbiz.de/10011386179
Saved in:
2
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian
State
Space
Models
Koopman, Siem Jan
;
Lucas, Andre
;
Scharth, Marcel
-
2011
We introduce a new efficient importance sampler for nonlinear non-Gaussian
state
space
models
. We propose a general and …
Persistent link: https://www.econbiz.de/10010325813
Saved in:
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