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Importance sampling for smoothing

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0011
Subject:
Mathematics, Probability / Statistics

This chapter develops the methodology of importance sampling based on simulation for the analysis of observations from the non-Gaussian and nonlinear models that were specified in Chapter 9. It shows ... More


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