Arbeitspapier
A note on implementing the Durbin and Koopman simulation smoother
The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments).
- ISBN
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978-92-899-1680-6
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1867
- Classification
-
Wirtschaft
Statistical Simulation Methods: General
- Subject
-
simulation smoother
state space model
trend output
- Event
-
Geistige Schöpfung
- (who)
-
Jarociński, Marek
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2015
- DOI
-
doi:10.2866/516204
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Jarociński, Marek
- European Central Bank (ECB)
Time of origin
- 2015
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