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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
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Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling
Nonejad, Nima - In: Economics letters 133 (2015), pp. 35-39
Persistent link: https://www.econbiz.de/10011431849
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de/10010357912
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Small area estimation with state-space common factor models for rotating panels
Brakel, Jan A. van den; Krieg, Sabine - 2014
Persistent link: https://www.econbiz.de/10010393950
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On Kalman filtering, parameter uncertainty and variances after single and multiple imputation
Knotterus, Paul - 2022
Persistent link: https://www.econbiz.de/10012820006
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The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models
Grothe, Oliver - 2017
Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …
Persistent link: https://www.econbiz.de/10012970355
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Sequential Monte Carlo Sampling for State Space Models
Wuthrich, Mario V. - 2016
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …
Persistent link: https://www.econbiz.de/10012993836
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Multi-signal approaches for repeated sampling schemes in inertial sensor calibration
Bakalli, Gaetan; Cuccio, Davide; Radi, Ahmed; … - 2021
Inertial sensor calibration plays a progressively important role in many areas of research among which navigation engineering. By performing this task accurately, it is possible to significantly increase general navigation performance by correctly filtering out the deterministic and stochastic...
Persistent link: https://www.econbiz.de/10012799578
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Particle efficient importance sampling
Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
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Parsimony inducing priors for large scale state-space models
Lopes, Hedibert Freitas; McCulloch, Robert E.; Tsay, Ruey S. - In: Journal of econometrics 230 (2022) 1, pp. 39-61
Persistent link: https://www.econbiz.de/10013441913