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

• المؤلفون الرئيسيون: Tanizaki, Hisashi, Mariano, Roberto S.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1994
• الموضوعات: Econometrics; Economics
• الوصول للمادة أونلاين: 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

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...