Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives

James Durbin and Siem Jan Koopman

No 1998-142, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Antithetic variables; Conditional and posterior statistics; Exponential family distributions; Heavy-tailed distributions; Importance sampling; Kalman filtering and smoothing; Monte Carlo simulation; Non-Gaussian time series models; Posterior distributions (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (3)

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Journal Article: Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives (2000)
Working Paper: Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives (1998)
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