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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Bibliographic Details
Main Authors: Mariano, Roberto S., Tanizaki, Hisashi, Van Dijk, Herman, Monfort, Alain, Brown, B.W.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1994
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Online Access:https://ink.library.smu.edu.sg/soe_research/381
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Institution: Singapore Management University
Language: English

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