25-034/III - Simulation Smoothing for Nonlinear non-Gaussian State Space Models using Machine Learning Methods

• Authors
  Karim Moussa, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam
• Publication date
  May 16, 2025

• Keywords
  Extremum Monte Carlo, Fixed-interval smoothing, Importance sampling, Machine learning, State space models, Stochastic volatility
• JEL
  C15, C22, C45, C58