Monte Carlo estimation for nonlinear non-Gaussian state space models

Biometrika

Volumn 94, Issue 4, 2007, Pages 827-839

  Jungbacker, Borus ^a   Koopman, Siem Jan ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Importance sampling; Kalman filtering; Markov chain Monte Carlo; Newton Raphson; Posterior mode; Simulation smoothing; Stochastic volatility model

Indexed keywords

EID: 37549006823     PISSN: 00063444     EISSN: 14643510     Source Type: Journal    
DOI: 10.1093/biomet/asm074     Document Type: Article

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