Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques

Hisashi Tanizaki

Annals of the Institute of Statistical Mathematics, 2001, vol. 53, issue 1, 63-81

Keywords: Filtering; smoothing; joint density; rejection sampling; importance resampling; Metropolis-Hastings independence sampling (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1023/A:1017916420893

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