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  • Search: subject:"Amortized inference"
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Amortized inference 1 Estimation theory 1 Fixed-interval smoothing 1 Importance sampling 1 Latent variables 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Sampling 1 Schätztheorie 1 Simulation 1 Stable distribution 1 State space model 1 Stichprobenerhebung 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 Zustandsraummodell 1
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Free 1
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Book / Working Paper 1
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
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Moussa, Karim 1
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Discussion paper / Tinbergen Institute 1
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ECONIS (ZBW) 1
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
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