Abstract
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.
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Wüthrich, M.V. (2017). Sequential Monte Carlo Sampling for State Space Models. In: Kreinovich, V., Sriboonchitta, S., Huynh, VN. (eds) Robustness in Econometrics. Studies in Computational Intelligence, vol 692. Springer, Cham. https://doi.org/10.1007/978-3-319-50742-2_2
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DOI: https://doi.org/10.1007/978-3-319-50742-2_2
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