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National Repository of Grey Literature

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Efficient likelihood evaluation of state-space representations DeJong, David N. ; Dharmarajan, Hariharan ; Liesenfeld, Roman ; Moura, Guilherme ; Richard, Jean-Francois Writers develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of targeted integrands to achieve likelihood approximation. Fulltext: PDF Detailed record

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