Search found 1 match
- Tue Mar 08, 2022 4:37 am
- Forum: State Space Models/DSGE
- Topic: How to use Monte Carlo method to improve EKF est in rats
- Replies: 1
- Views: 39402
How to use Monte Carlo method to improve EKF est in rats
Hi all, I found that when using EKF in rats, the maximum likelihood estimation of parameters is not very good. I read the literature and found that the mcmc method is better for estimation, but I don't know how to combine the extended Kalman filter and MCMC. Also don't know how to implement it in ra...