Modified efficient importance sampling for partially non‐Gaussian state space models

DOI10.1111/stan.12128OpenAlexW2790441405MaRDI QIDQ6147738

Unnamed Author, Rutger Lit, Siem Jan Koopman

Publication date: 16 January 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12128

zbMATH Keywords

Kalman filterefficient importance samplingsimulation smoothingMonte Carlo maximum likelihoodnon-Gaussian dynamic models

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

Cites Work

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