Nonlinear and Non-Gaussian State-Space Modeling with Monte-Carlo Simulations

• المؤلفون الرئيسيون: Mariano, Roberto S., Tanizaki, Hisashi
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1998
• الموضوعات: Economics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/272
• المؤسسة: Singapore Management University

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...