20-052/III - Bellman filtering for state-space models

• Author
  Rutger Jan Lange, Erasmus School of Economics
• Publication date
  August 27, 2020

• Keywords
  dynamic programming, curse of dimensionality, importance sampling, Laplace method, Kalman filter, maximum a posteriori (MAP) estimate, NAIS, particle filter, prediction-error decomposition, posterior mode, Viterbi algorithm
• JEL
  C32, C53, C61