Arbeitspapier
Efficient likelihood evaluation of state-space representations
We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information. We illustrate our procedure in applications to dynamic stochastic general equilibrium models.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Working Paper ; No. 2009-02
- Classification
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Wirtschaft
- Subject
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particle filter
adaption
efficient importance sampling
kernel density approximation
dynamic stochastic general equilibrium model
Zustandsraummodell
Analysis
Allgemeines Gleichgewicht
Dynamisches Modell
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
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DeJong, David Neil
Dharmarajan, Hariharan
Liesenfeld, Roman
Moura, Guilherme V.
Richard, Jean-François
- Event
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Veröffentlichung
- (who)
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Kiel University, Department of Economics
- (where)
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Kiel
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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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
- DeJong, David Neil
- Dharmarajan, Hariharan
- Liesenfeld, Roman
- Moura, Guilherme V.
- Richard, Jean-François
- Kiel University, Department of Economics
Time of origin
- 2009
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