Monte Carlo Smoothing and Self-Organising State-Space Model

  • Genshiro Kitagawa
  • Seisho Sato
Part of the Statistics for Engineering and Information Science book series (ISS)


A Monte Carlo method for nonlinear non-Gaussian filtering and smoothing and its application to self-organising state-space models are shown in this paper.


Kalman Filter Extended Kalman Filter Stochastic Volatility Predictive Distribution Stochastic Volatility Model 
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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Genshiro Kitagawa
  • Seisho Sato

There are no affiliations available

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