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~person:"Lucas, André"
~subject:"Simulation"
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importance sampling
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Lucas, André
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 …
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