Hybrid Quasi-Monte Carlo Method for the Simulation of State Space Models
نویسنده
چکیده
We propose a simulation method for state space models which utilizes quasi-Monte Carlo method with randomization aiming at good approximation of the probability distribution at each time step. Numerical experiments shows our proposed method outperforms a traditional Monte Carlo simulation method in the estimation of model likelihood.
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تاریخ انتشار 2011