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An Efficient Filtering Approach to Likelihood Approximation for State-Space Representations

Опубликовано на портале: 26-11-2007
Economics Working Papers of Department of Economics and Business, Universitat Pompeu Fabra. 2007.  No. 2007-25.
Тематический раздел:
We develop a numerical filtering procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-gaussian state-space models. The procedure approximates necessary integrals using continuous or piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information.

Ссылки
http://opus.zbw-kiel.de/volltexte/2007/6339/pdf/EWP-2007-25.pdf
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