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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
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