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Nonlinear and nonnormal filters using Monte Carlo methods

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  • Tanizaki, Hisashi
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-3SX26SG-3/2/21da674fb4d1e56b2500a6df839219c3
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 25 (1997)
    Issue (Month): 4 (September)
    Pages: 417-439

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    Handle: RePEc:eee:csdana:v:25:y:1997:i:4:p:417-439

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    Web page: http://www.elsevier.com/locate/csda

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    1. Mariano, Roberto S & Brown, Bryan W, 1983. "Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 523-36, October.
    2. Brown, Bryan W & Mariano, Roberto S, 1989. "Measures of Deterministic Prediction Bias in Nonlinear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 667-84, August.
    3. Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 73-89.
    4. Koop, Gary, 1994. " Recent Progress in Applied Bayesian Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 8(1), pages 1-34, March.
    5. Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
    6. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March.
    7. Tanizaki, Hisashi, 1993. "Kalman Filter Model with Qualitative Dependent Variables," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 747-52, November.
    8. Tanizaki, Hisashi & Mariano, Roberto S, 1994. "Prediction, Filtering and Smoothing in Non-linear and Non-normal Cases Using Monte Carlo Integration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 163-79, April-Jun.
    9. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
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