Arbeitspapier
An Efficient Filtering Approach to Likelihood Approximation for State-Space Representations
We develop a numerical filtering procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-gaussian state-space models. The procedure approximates necessary integrals using continuous or piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Working Paper ; No. 2007-25
- Klassifikation
-
Wirtschaft
- Thema
-
particle filter
adaption
efficient importance sampling
kernel density approximation
Zustandsraummodell
Theorie
EIS Filter
Efficient Importance Sampling
- Ereignis
-
Geistige Schöpfung
- (wer)
-
DeJong, David Neil
Dharmarajan, Hariharan
Liesenfeld, Roman
Richard, Jean-François
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel University, Department of Economics
- (wo)
-
Kiel
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- DeJong, David Neil
- Dharmarajan, Hariharan
- Liesenfeld, Roman
- Richard, Jean-François
- Kiel University, Department of Economics
Entstanden
- 2007
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