Nonlinear and Non-Gaussian State-Space Modeling with Monte-Carlo Simulations
We propose two nonlinear and nonnormal filters based on Monte Carlo simulation techniques. In terms of programming and computational requirements both filters are more tractable than other nonlinear filters that use numerical integration, Monte Carlo integration with importance sampling or Gibbs sam...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1998
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/272 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |