An efficient and simple simulation smoother for state space time series analysis

J. Durbin and S.J. Koopman
Authors registered in the RePEc Author Service: James Durbin and Siem Jan Koopman

No 52, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: A simulation smoother in state space time series analysis is a procedure for drawing samples from the conditional distribution of state or disturbance vectors given the observations. We present a new technique for this which is both simple and computationally efficient.

Keywords: State Space; Kalman filter; Gibbs sampler (search for similar items in EconPapers)
JEL-codes: C15 C32 (search for similar items in EconPapers)
Date: 2001-04-01
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:52

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