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Efficient Likelihood Evaluation of State-Space Representations
David DeJong
University of Pittsburgh

How can the evaluation of state-space integrals be made more efficient? "Efficient Likelihood Evaluation of State-Space Representations" introduces the EIS filter, building on previous particle filter methods, to provide continuous and adapted approximations that enhance the computation of these integrals, particularly in applications like DSGE models.

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Efficient Likelihood Evaluation of State-Space Representations