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MARSSsimulate

Open eeholmes opened this issue 6 years ago • 1 comments

de Jong has a fast algorithm for sampling x from the conditional distribution.

There are better algorithms for the unconditional distribution too.

eeholmes avatar Jan 11 '20 02:01 eeholmes

Durbin J, Koopman SJ (2002). “A Simple and Efficient Simulation Smoother for State Space Time Series Analysis.” Biometrika, 89(3), 603–615. doi:10.1093/biomet/89.3.603.

eeholmes avatar Jan 11 '20 23:01 eeholmes