• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • (CANCELED) Econometrics and Data Science Methods
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

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