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and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
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This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …
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It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...
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The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool …
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I develop a new method for approximating and estimating nonlinear, non-Gaussian state space models. I show that any such model can be well approximated by a discrete-state Markov process and estimated using techniques developed in Hamilton (1989). Through Monte Carlo simulations, I demonstrate...
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