Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006
(˜ψ(T)) are used to evaluate the integral (6), also known as Monte Carlo integration.
The main advantage is that the simulations … integrated out using importance
sampling. Although the Monte Carlo integration applies to a larger state vector ν(ti) rather
than … likelihood estimate of α.
Given an estimate of α, the state vector can be estimated as part of the numerical integration
process …