McCausland, William J. - In: Journal of Econometrics 168 (2012) 2, pp. 189-206
I introduce the HESSIAN (highly efficient simulation smoothing in a nutshell) method for numerically efficient … simulation smoothing in state space models with univariate states. Given a vector θ of parameters, the vector of states α=(α1 … posterior inference, using IS and MCMC. Compared with other simulation smoothing methods, the HESSIAN method is highly …