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~institution:"Tilburg University, Center for Economic Research"
~person:"Koopman, S.J.M."
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Search: subject:"Simulation"
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Kalman filtering and smoothing
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Antithetic variables
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Conditional and posterior statistics
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Exponential family distributions
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Heavy-tailed distributions
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Importance sampling
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Markov chain Monte Carlo
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Ox
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simulation smoother
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Koopman, S.J.M.
Kleijnen, Jack P.C.
42
Den Hertog, Dick
7
Mehdad, E.
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van Beers, W.C.M.
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Husslage, B.G.M.
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van Dam, Edwin Robert
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Bettonvil, B.W.M.
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Gaury, E.G.A.
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Groenendaal, Willem van
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Gürkan, G.
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Strijbosch, L.W.G.
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Donkers, A.C.D.
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Cruijssen, F.C.A.M.
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Deflandre, D.
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Durbin, J.
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Tilburg University, Center for Economic Research
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Discussion Paper / Tilburg University, Center for Economic Research
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Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Durbin, J.
;
Koopman, S.J.M.
-
Tilburg University, Center for Economic Research
-
1998
perspectives. The treatment in both cases is based on
simulation
using importance sampling and antithetic variables; Monte Carlo …
Persistent link: https://www.econbiz.de/10011091499
Saved in:
2
Statistical Algorithms for Models in State Space Using SsfPack 2.2
Koopman, S.J.M.
;
Shephard, N.
;
Doornik, J.A.
-
Tilburg University, Center for Economic Research
-
1998
and
simulation
smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation …
Persistent link: https://www.econbiz.de/10011092147
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