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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

refer to our new method as numerically accelerated importance sampling. The method is computationally and numerically …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …

Persistent link: https://www.econbiz.de/10011386179

Particle efficient importance sampling

Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10011591626

Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging

Alexeev, Vitali; Chen, Jun; Ignatieva, Ekaterina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 733-763

Persistent link: https://www.econbiz.de/10014506869

Sequential Monte Carlo sampling for state space models

Wüthrich, Mario V. - In: Robustness in econometrics, (pp. 25-50). 2017

The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …

Persistent link: https://www.econbiz.de/10011800920

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

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 … are presented that lead to a more effective implementation of importance sampling for state space models. An illustration …

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

Simulation smoothing for state space models : an extremum Monte Carlo approach

Moussa, Karim - 2025

This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...

Persistent link: https://www.econbiz.de/10015404318

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

A new model of inflation, trend inflation, and long-run inflation expectations

Chan, Joshua; Clark, Todd E.; Koop, Gary - 2015

Persistent link: https://www.econbiz.de/10011386660

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633