The Hessian Method (Highly Efficient State Smoothing, In a Nutshell)
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- McCAUSLAND, William, 2008. "The Hessian Method (Highly Efficient State Smoothing, In a Nutshell)," Cahiers de recherche 03-2008, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
References listed on IDEAS
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- McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007.
"A New Approach to Drawing States in State Space Models,"
Cahiers de recherche
07-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- McCAUSLAND, William J. & MILLER, Shirley & PELLETIER, Denis, 2007. "A New Approach to Drawing States in State Space Models," Cahiers de recherche 2007-06, Universite de Montreal, Departement de sciences economiques.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Håvard Rue & Sara Martino & Nicolas Chopin, 2009. "Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 319-392.
- McCausland, William J. & Miller, Shirley & Pelletier, Denis, 2011. "Simulation smoothing for state-space models: A computational efficiency analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 199-212, January.
- Kleppe, Tore Selland & Skaug, Hans Julius, 2012. "Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3105-3119.
- Chan, Joshua & Strachan, Rodney, 2012.
"Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods,"
39360, University Library of Munich, Germany.
- Joshua Chan & Rodney Strachan, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers 2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-08-21 (All new papers)
- NEP-ECM-2008-08-21 (Econometrics)
- NEP-ETS-2008-08-21 (Econometric Time Series)
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