A New Approach to Drawing States in State Space Models
We introduce a new method for drawing state variables in Gaussian state space models from their conditional distribution given parameters and observations. Unlike standard methods, our method does not involve Kalman filtering. We show that for some important cases, our method is computationally more efficient than standard methods in the literature. We consider two applications of our method.
|Date of creation:||Aug 2007|
|Date of revision:||Aug 2007|
|Note:||First draft 2007-08|
|Contact details of provider:|| Phone: (919) 515-3274|
Web page: http://www.mgt.ncsu.edu/faculty/economics.html
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- J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.