23-016/III - Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression

• Authors
  Karim Moussa, Vrije Universiteit Amsterdam; Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
• Publication date
  March 24, 2023

• Keywords
  Fixed-interval smoothing, Latent variables, Least squares Monte Carlo, Multivariate stochastic volatility, Real-time filtering, State space models