An E¢ cient Approach to Analyzing State-Space Representations
David N. DeJong, Hariharan Dharmarajan, Roman Liesenfeld, Jean‐François Richard · 2007
We develop a numerical procedure that facilitates e¢ cient likelihood evaluation and …ltering in applications involving non-linear and non-Gaussian state-space models. The procedure approximates necessary integrals using continuous approximations of target densities. Construction is achieved via e¢ cient importance sampling, and approximating densities are adapted to fully incorporate current information.