With Lennart Hoogerheide and Siem Jan Koopman.

Efficient Bayesian risk estimation for nonlinear, non-Gaussian state space models based on importance sampling. The optimal importance density constructed for the augmented parameter space (including the latent volatility process) with a focus on the “high-loss” scenarios.

PDF: Bayesian Risk Evaluation in State Space Models (extended abstract)


Code: Follow @aborowska/QERMit and Follow @aborowska/NAIS