Modelling and simulation of fractional ARIMA processes based on importance sampling.

Jung-Shian Li Adam Wolisz Radu Popescu-Zeletin

Published in: SAC (1998)

Keyphrases

importance sampling
monte carlo
markov chain
rare events
kalman filter
approximate inference
particle filter
particle filtering
artificial neural networks
least squares
graphical models
posterior distribution
markov chain monte carlo