Prediction, Filtering, and Smoothing in Nonlinear and Nonnormal Cases Using Monte-Carlo Integration
A simulation-based non-linear filter is developed for prediction and smoothing in non-linear and/or nonnormal structural time-series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a small...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1994
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/373 https://ink.library.smu.edu.sg/context/soe_research/article/1372/viewcontent/Prediction_Filter_NL_JAE_pv_94.pdf |
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| Institution: | Singapore Management University |
| Language: | English |