Efficient estimation of conditionally linear and Gaussian state space models

DOI10.1016/j.econlet.2014.07.019zbMath1303.62112OpenAlexW2032108349MaRDI QIDQ485736

Douglas Eduardo Turatti, Guilherme V. Moura

Publication date: 14 January 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.07.019

zbMATH Keywords

nonlinear state-space modelsRao-Blackwellizationefficient importance samplinginflation forecasting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (2)

Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models ⋮ Specification tests for time-varying parameter models with stochastic volatility

Cites Work

• Efficient high-dimensional importance sampling
• Efficient Likelihood Evaluation of State-Space Representations
• A Survey of Sequential Monte Carlo Methods for Economics and Finance

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