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atsa-es / MARSS

Multivariate Autoregressive State-Space Modeling with R
https://atsa-es.github.io/MARSS/
GNU General Public License v3.0
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MARSSsimulate #49

Open eeholmes opened 4 years ago

eeholmes commented 4 years ago

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

There are better algorithms for the unconditional distribution too.

eeholmes commented 4 years ago

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.