Statistical algorithms for models in state space using SsfPack 2.2

• 1 June 1999
• journal article
• Published by Oxford University Press (OUP) in The Econometrics Journal
• Vol. 2  (1) , 107-160
• https://doi.org/10.1111/1368-423x.00023

Abstract

Keywords

• KALMAN FILTERING AND SMOOTHING
• MARKOV CHAIN MONTE CARLO
• SIMULATION SMOOTHER
• STATE SPACE