Ng, Jason; Forbes, Catherine S.; Martin, Gael M.; … - In: International Journal of Forecasting 29 (2013) 3, pp. 411-430
The object of this paper is to produce non-parametric maximum likelihood estimates of forecast distributions in a general non-Gaussian, non-linear state space setting. The transition densities that define the evolution of the dynamic state process are represented in parametric form, but the...