12-008/4 - Fast Efficient Importance Sampling by State Space Methods

• Authors
  Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; Thuy Minh Nguyen, Deutsche Bank, London, United Kingdom
• Publication date
  January 12, 2012

• Keywords
  Kalman filter, Monte Carlo maximum likelihood, Simulation smoothing
• JEL
  C32, C51