A simple and efficient simulation smoother for state space time series analysis

Biometrika

Volumn 89, Issue 3, 2002, Pages 603-615

  Durbin, J ^a   Koopman, S J ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Diffuse initialisation; Disturbance smoothing; Gibbs sampling; Importance sampling; Kalman filter; Markov chain Monte Carlo

Indexed keywords

EID: 3142711588     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/89.3.603     Document Type: Article

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