Simulation smoothing for statespace models: A computational efficiency analysis

Computational Statistics and Data Analysis

Volumn 55, Issue 1, 2011, Pages 199-212

  McCausland, William J ^a,b   Miller, Shirley ^a   Pelletier, Denis ^c  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b Canada H3A 2T7   (Canada)

^c NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

Count data; High frequency financial data; Importance sampling; Markov chain Monte Carlo; Statespace models

Indexed keywords

COUNT DATA; HIGH FREQUENCY; IMPORTANCE SAMPLING; MARKOV CHAIN MONTE CARLO; STATE-SPACE MODELS;

COMPUTER SIMULATION; GAUSSIAN DISTRIBUTION; MARKOV PROCESSES; MONTE CARLO METHODS;

COMPUTATIONAL EFFICIENCY;

EID: 77956395445     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.07.009     Document Type: Article

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