A note on implementing the Durbin and Koopman simulation smoother

By Jarocinski Marek
Computational Statistics and Data Analysis (2015)

  • Marek Jarocinski

    European Central Bank

    Germany

Created

October 17, 2014

Last update

October 25, 2014

Software

Matlab

Ranking

35

Visits

4412

Downloads

340

Description

These programs replicate numerical examples from section 4. Run the file main.m. The key function is kfsim.m, which correctly implements the fastest version of the Durbin and Koopman (2002) simulation smoother for a state space model.

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