The simulation smoother for time series models

作者：Piet de Jong, Neil Shephard · 发表于：Biometrika · 年份：1995 · DOI：10.1093/biomet/82.2.339 · 被引用次数：581 · 研究领域：Time Series Analysis and Forecasting、Statistical Methods and Inference、Financial Risk and Volatility Modeling

Recently suggested procedures for simulating from the posterior density of states given a Gaussian state space time series are refined and extended. We introduce and study the simulation smoother, which draws from the multivariate posterior distribution of the disturbances of the model, so avoiding the degeneracies inherent in state samplers. The technique is important in Gibbs sampling with non-Gaussian time series models, and for performing Bayesian analysis of Gaussian time series.