Munich Personal RePEc Archive

A note on implementing the Durbin and Koopman simulation smoother

Jarocinski, Marek (2014): A note on implementing the Durbin and Koopman simulation smoother.

[img]
Preview
PDF
MPRA_paper_59466.pdf

Download (176kB) | Preview

Abstract

The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.