Sequential Monte Carlo Sampling for State Space Models
24 Pages Posted: 25 Apr 2016
Date Written: April 25, 2016
The aim of these notes is to revisit sequential Monte Carlo (SMC) sampling. SMC sampling is a powerful simulation tool for solving non-linear and/or non-Gaussian state space models. We illustrate this with several examples.
Keywords: State space models, sequential Monte Carlo sampling, SMC, Kalman filter
JEL Classification: C15, C22, C32
Suggested Citation: Suggested Citation