Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations

DOI10.1016/S0304-4076(97)80226-6zbMath0905.62094OpenAlexW2105032794WikidataQ128090024 ScholiaQ128090024MaRDI QIDQ1377315

Hisashi Tanizaki, Roberto S. Mariano

Publication date: 9 February 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)80226-6

zbMATH Keywords

importance samplingGibbs samplingnonlinear state-space models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Numerical integration (65D30)

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