Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
نویسندگان
چکیده
منابع مشابه
Nonlinear and Non-Gaussian State-Space Modeling with Monte Carlo Techniques: A Survey and Comparative Study
Since Kitagawa (1987) and Kramer and Sorenson (1988) proposed the filter and smoother using numerical integration, nonlinear and/or non-Gaussian state estimation problems have been developed. Numerical integration becomes extremely computer-intensive in the higher dimensional cases of the state vector. Therefore, to improve the above problem, the sampling techniques such as Monte Carlo integrat...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1998
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(97)80226-6