05-117/4 - On Importance Sampling for State Space Models

• Authors
  Borus Jungbacker, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
• Publication date
  December 19, 2005

• Keywords
  Kalman filter; Likelihood function; Monte Carlo integration; Newton-Raphson; Posterior mode estimation; Simulation smoothing; Stochastic volatility model
• JEL
  C15; C32