likelihood approach employing efficient importance sampling is used. The results reveal significant costs in terms of economic …

likelihood approach employing efficient importance sampling is used. The results reveal significant costs in terms of economic …

importance sampling together with a Rao-Blackwellization step are used to construct a highly efficient estimation method that …An efficient estimation procedure for conditionally linear and Gaussian state space models is developed. Efficient …

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling …

technique adopting the efficient importance sampling approach of Richard & Zhang (2005). We provide an application to a trading …

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling …

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling …

piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and …