Precision-based sampling for state space models that have no measurement error

DOI10.1016/J.JEDC.2023.104720OpenAlexW4385232656MaRDI QIDQ6094495

Elmar Mertens

Publication date: 14 September 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104720

zbMATH Keywords

state space modelssignal extractionband matrixKalman filter and smootherprecision-based sampling

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Economic time series analysis (91B84) Dynamic stochastic general equilibrium theory (91B51)

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