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Fast Efficient Importance Sampling by State Space Methods
Koopman, Siem Jan; Nguyen, Thuy Minh - 2012
simple and fast method for efficient importance sampling. A simulation study and empirical illustration provide some evidence …
Persistent link: https://www.econbiz.de/10010326518
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Testing the Assumptions Behind the Use of Importance Sampling
Koopman, Siem Jan; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002
Importance sampling is used in many aspects of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this...
Persistent link: https://www.econbiz.de/10005730296
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Testing the assumptions behind the use of importance sampling
Shephard, Neil; Koopman, Siem Jan - Department of Economics, Oxford University - 2002
Importance sampling is used in many aspects of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this...
Persistent link: https://www.econbiz.de/10010605276
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Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - In: The econometrics journal 2 (1999) 1, pp. 107-160
Persistent link: https://www.econbiz.de/10001449270
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Extremum Monte Carlo Filters : Real-Time Signal Extraction via Simulation and Regression
Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023
This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …
Persistent link: https://www.econbiz.de/10014358032
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The analysis of stochastic volatility in the presence of daily realised measures
Koopman, Siem Jan; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10010191086
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Fast efficient importance sampling by state space methods
Koopman, Siem Jan; Nguyen, Thuy Minh - 2012
Persistent link: https://www.econbiz.de/10009722707
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The stochastic volatility in mean model
Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000
(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …
Persistent link: https://www.econbiz.de/10011303314
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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10011386179
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921