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This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm … simulation to the normal simulation. …
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This paper develops a new Bayesian algorithm to efficiently estimate non-linear/non-Gaussian state space models with abruptly changing parameters. Within the Particle Gibbs framework developed by Andrieu et al. (2010), the proposed algorithm effectively combines two ideas: ancestor sampling and...
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We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...
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