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  • Search: subject:"prediction-error decomposition"
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Kalman filter 1 Laplace method 1 NAIS 1 Viterbi algorithm 1 curse of dimensionality 1 dynamic programming 1 importance sampling 1 maximum a posteriori (MAP) estimate 1 particle filter 1 posterior mode 1 prediction-error decomposition 1
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Free 1
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Working Paper 1
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English 1
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Lange, Rutger Jan 1
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Tinbergen Institute Discussion Paper 1
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EconStor 1
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Bellman filtering for state-space models
Lange, Rutger Jan - 2021
-likelihood decomposition, which is an alternative to the classic prediction-error decomposition for linear Gaussian models. Simulation studies …
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