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,…,αn) is Gaussian and the observed vector...