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Pollock, David Stephen G. - In: Econometrics : open access journal 6 (2018) 3, pp. 1-33

Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its...

Persistent link: https://www.econbiz.de/10011887657

Langevin and Kalman importance sampling for nonlinear continuous-discrete state space models

Singer, Hermann - 2017

Persistent link: https://www.econbiz.de/10011619759

Integrated variance of irregularly spaced high-frequency data : a state space approach based on pre-averaging

Alexeev, Vitali; Chen, Jun; Ignatieva, Ekaterina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 733-763

Persistent link: https://www.econbiz.de/10014506869

On Importance Sampling for State Space Models

Jungbacker, Borus; Koopman, Siem Jan - 2006

We consider likelihood inference and state estimation by means of importance sampling for state space models with a … are presented that lead to a more effective implementation of importance sampling for state space models. An illustration …

Persistent link: https://www.econbiz.de/10014060268

Particle rolling mcmc with double-block sampling

Awaya, Naoki; Omori, Yasuhiro - 2021

Persistent link: https://www.econbiz.de/10013339020

Measuring economic cycles in data

Breeden, Joseph L. - In: The journal of risk model validation 14 (2020) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10014335908

Precision-based sampling for state space models that have no measurement error

Mertens, Elmar - 2023

instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known … other instances of precision-based sampling, computational gains are considerable. Relevant applications include trend …