Fast smoothing in switching approximations of non-linear and non-Gaussian models
نویسندگان
چکیده
منابع مشابه
Fast smoothing in switching approximations of non-linear and non-Gaussian models
Statistical smoothing in general non-linear non-Gaussian systems is a challenging problem. A new smoothing method based on approximating the original system by a recent switching model has been introduced. Such switching model allows fast and optimal smoothing. The new algorithm is validated through an application on stochastic volatility and dynamic beta models. Simulation experiments indicate...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2017
ISSN: 0167-9473
DOI: 10.1016/j.csda.2017.04.007