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Christian-Albrechts-Universität zu Kiel

Institut für Volkswirtschaftslehre - Department of Economics
Economics Working Papers

Economics Working Papers: Abstract 2007-25


Nummer

2007-25

Autoren

David N. DeJong, Hariharan Dharmarajan, Roman Liesenfeld, Jean-François Richard

 

Titel

 

An Efficient Filtering Approach to Likelihood Approximation for State-Space Representations - A revised version of this paper is available as EWP 2009-02
Abstract 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.

Keywords: particle filter, adaption, efficient importance sampling, kernel density approximation

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