A Class of Non-Gaussian State Space Models with Exact Likelihood Inference

2013 ◽  
Author(s):  
Drew D. Creal
Keyword(s):  
State Space ◽  
State Space Models ◽  
Likelihood Inference ◽  
Gaussian State ◽  
Non Gaussian

scholarly journals DETECTION LIMITS FOR LINEAR NON-GAUSSIAN STATE-SPACE MODELS

2006 ◽  
Vol 39 (13) ◽  
pp. 282-287 ◽  
Author(s):  
Gustaf Hendeby ◽  
Fredrik Gustafsson
Keyword(s):  
State Space ◽  
Detection Limits ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian

scholarly journals Predicting crypto-currencies using sparse non-Gaussian state space models

2018 ◽  
Vol 37 (6) ◽  
pp. 627-640 ◽  
Author(s):  
Christian Hotz-Behofsits ◽  
Florian Huber ◽  
Thomas Otto Zörner
Keyword(s):  
State Space ◽  
State Space Models ◽  
Gaussian State ◽  
Non Gaussian

Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models

Biometrika ◽  
2007 ◽  
Vol 94 (4) ◽  
pp. 827-839 ◽  
Author(s):  
B. Jungbacker ◽  
S. J. Koopman
Keyword(s):  
Monte Carlo ◽  
State Space ◽  
State Space Models ◽  
Gaussian State ◽  
Monte Carlo Estimation ◽  
Non Gaussian
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