Monte Carlo Smoothing and Self-Organising State-Space Model
Part of the Statistics for Engineering and Information Science book series (ISS)
A Monte Carlo method for nonlinear non-Gaussian filtering and smoothing and its application to self-organising state-space models are shown in this paper.
KeywordsKalman Filter Extended Kalman Filter Stochastic Volatility Predictive Distribution Stochastic Volatility Model
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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© Springer Science+Business Media New York 2001