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and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
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This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …
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The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …
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I develop a new method for approximating and estimating nonlinear, non-Gaussian state space models. I show that any such model can be well approximated by a discrete-state Markov process and estimated using techniques developed in Hamilton (1989). Through Monte Carlo simulations, I demonstrate...
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are found via a Bayesian, Markov chain Monte Carlo (MCMC) sampler. Like Jensen (2004), this MCMC algorithm relies on the …
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