Monte Carlo maximum likelihood estimation for non-Gaussian state space models

Biometrika

Volumn 84, Issue 3, 1997, Pages 669-684

  Durbin, J ^a   Koopman, S J ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Antithetic variable; Control variable; Exponential family distribution; Heavy tailed distribution; Importance sampling; Kalman filtering and smoothing; Monte Carlo simulation; Non Gaussian time series model

Indexed keywords

EID: 0000094018     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/84.3.669     Document Type: Article

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