A simple and efficient simulation smoother for state space time series analysis

被引:283
作者
Durbin, J
Koopman, SJ
机构
[1] Univ London London Sch Econ & Polit Sci, Dept Stat, London WC2A 2AE, England
[2] Free Univ Amsterdam, Dept Econometr, NL-1081 HV Amsterdam, Netherlands
关键词
diffuse initialisation; disturbance smoothing; Gibbs sampling; importance sampling; Kalman filter; Markov chain Monte Carlo;
D O I
10.1093/biomet/89.3.603
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
A simulation smoother in state space time series analysis is a procedure for drawing samples from the conditional distribution of state or disturbance vectors given the observations. We present a new technique for this which is both simple and computationally efficient. The treatment includes models with diffuse initial conditions and regression effects. Computational comparisons are made with the previous standard method. Two applications are provided to illustrate the use of the simulation smoother for Gibbs sampling for Bayesian inference and importance sampling for classical inference.
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页码:603 / 615
页数:13
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