Published in:Tinbergen Institute Discussion Paper ; No. 12-007/4
Extent:
1 Online-Ressource (33 p)
Language:
English
DOI:
10.2139/ssrn.1996436
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 30, 2012 erstellt
Description:
We show that efficient importance sampling for nonlinear non-Gaussian state space models can be implemented by computationally efficient Kalman filter and smoothing methods. The result provides some new insights but it primarily leads to a simple and fast method for efficient importance sampling. A simulation study and empirical illustration provide some evidence of the computational gains