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05-117/4 - On Importance Sampling for State Space Models


  • Authors
    Borus Jungbacker, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
  • Publication date
    December 19, 2005
  • Keywords
    Kalman filter; Likelihood function; Monte Carlo integration; Newton-Raphson; Posterior mode estimation; Simulation smoothing; Stochastic volatility model
  • JEL
    C15; C32