Prediction, Filtering, and Smoothing in Nonlinear and Nonnormal Cases Using Monte-Carlo Integration

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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書目詳細資料
Main Authors:	Tanizaki, Hisashi, Mariano, Roberto S.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 1994
主題:	Econometrics Economics
在線閱讀:	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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