Resource title

An Efficient Filtering Approach to Likelihood Approximation for State-Space Representations

Resource image

image for OpenScout resource :: An Efficient Filtering Approach to Likelihood Approximation for State-Space Representations

Resource description

We develop a numerical filtering procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-gaussian state-space models. The procedure approximates necessary integrals using continuous or piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and approximating densities are adapted to fully incorporate current information.

Resource author

David Neil DeJong, Hariharan Dharmarajan, Roman Liesenfeld, Jean-Fran├žois Richard

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22041

Resource license

Adapt according to the presented license agreement and reference the original author.