Search Results - subject:"Simulation smoothing"

On Importance Sampling for State Space Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Instituut - 2005

We consider likelihood inference and state estimation by means of importance sampling for state space models with a nonlinear non-Gaussian observation y ~ p(y|alpha) and a linear Gaussian state alpha ~ p(alpha). The importance density is chosen to be the Laplace approximation of the smoothing...

Persistent link: https://www.econbiz.de/10011255603

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

We consider likelihood inference and state estimation by means of importance sampling for state space models with a nonlinear non-Gaussian observation y ~ p(y lpha) and a linear Gaussian state alpha ~ p(alpha). The importance density is chosen to be the Laplace approximation of the smoothing...

Persistent link: https://www.econbiz.de/10011348357

The HESSIAN method: Highly efficient simulation smoothing, in a nutshell

McCausland, William J. - In: Journal of Econometrics 168 (2012) 2, pp. 189-206

I introduce the HESSIAN (highly efficient simulation smoothing in a nutshell) method for numerically efficient … simulation smoothing in state space models with univariate states. Given a vector θ of parameters, the vector of states α=(α1 … posterior inference, using IS and MCMC. Compared with other simulation smoothing methods, the HESSIAN method is highly …

Persistent link: https://www.econbiz.de/10011052248

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10010324992

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002

The linear Gaussian state space model for which the common variance is treated as a stochastic time-varying variable is considered for the modelling of economic time series. The focus of this paper is on the simultaneous estimation of parameters related to the stochastic processes of the mean...

Persistent link: https://www.econbiz.de/10005209436

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002

This discussion paper led to an article in Statistica Neerlandica (2003). Vol. 57, issue 4, pages 439-469. The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this...

Persistent link: https://www.econbiz.de/10011255780

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

Persistent link: https://www.econbiz.de/10011327834