A simple and efficient simulation smoother for state space time series analysis
type: Item
instance of: scholarly article
title: A simple and efficient simulation smoother for state space time series analysis
zbMATH Open document ID: 1036.62071
author: James Durbin
author: Siem Jan Koopman
published in: Biometrika
publication date: 2004-03-16T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 2058738
zbMATH Keywords: diffuse initialisation
zbMATH Keywords: disturbance smoothing
zbMATH Keywords: Gibbs sampling
zbMATH Keywords: importance sampling
zbMATH Keywords: Kalman filter
zbMATH Keywords: Markov chain Monte Carlo
describes a project that uses: SsfPack
MaRDI profile type: Publication
OpenAlex ID: W2152135597
DOI: 10.1093/BIOMET/89.3.603
description: scientific article; zbMATH DE number 2058738