Fast Efficient Importance Sampling by State Space Methods
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More about this item
Keywords
Kalman filter; Monte Carlo maximum likelihood; Simulation smoothing;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2012-08-23 (Operations Research)
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