Prediction, filtering and smoothing in non‐linear and non‐normal cases using Monte Carlo integration
- 1 April 1994
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 9 (2) , 163-179
- https://doi.org/10.1002/jae.3950090204
Abstract
No abstract availableKeywords
This publication has 16 references indexed in Scilit:
- A Monte Carlo Approach to Nonnormal and Nonlinear State-Space ModelingJournal of the American Statistical Association, 1992
- Bayesian Inference in Econometric Models Using Monte Carlo IntegrationEconometrica, 1989
- A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical IntegrationEconometrica, 1989
- Monte Carlo Approximations in Bayesian Decision TheoryJournal of the American Statistical Association, 1989
- Robustification of Kalman Filter ModelsJournal of the American Statistical Association, 1989
- Die wichtigsten polymerphysikalischen Aspekte des PolycarbonatsDie Angewandte Makromolekulare Chemie, 1988
- Non-Gaussian State-Space Modeling of Nonstationary Time SeriesJournal of the American Statistical Association, 1987
- Data Revision, Reconstruction, and Prediction: An Application to Inventory InvestmentThe Review of Economics and Statistics, 1984
- The Use of Preliminary Data in Econometric ForecastingThe Review of Economics and Statistics, 1978
- Nonlinear Bayesian estimation using Gaussian sum approximationsIEEE Transactions on Automatic Control, 1972