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An efficient and simple simulation smoother for state space time series analysis

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Author Info
J. Durbin and S.J. Koopman

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Abstract

A simulation smoother in state space time series analysis is a procedure for drawing samples from the conditional distribution of state or disturbance vectors given the observations. We present a new technique for this which is both simple and computationally efficient.

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 52.

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Date of creation: 01 Apr 2001
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Handle: RePEc:sce:scecf1:52

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Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
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Related research
Keywords: State Space; Kalman filter; Gibbs sampler;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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Statistics
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