Simulated Maximum Likelihood in Nonlinear Continuous-Discrete State Space Models: Importance Sampling by Approximate Smoothing
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DOI: 10.1007/s001800300133
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- Hermann Singer, 2014. "Importance sampling for Kolmogorov backward equations," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(4), pages 345-369, October.
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Keywords
Stochastic differential equations; Nonlinear filtering; Discrete noisy measurements; Maximum likelihood estimation; Monte Carlo simulation; Importance sampling;All these keywords.
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