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Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference

R Khabibullin, S Seleznev - arXiv preprint arXiv:2210.07154, 2022 - arxiv.org
Economics paper econ.EM Suggest

This paper presents a fast algorithm for estimating hidden states of Bayesian state space models. The algorithm is a variation of amortized simulation-based inference …

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BibTeX

@misc{khabibullin2022fast,
title={Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference},
author={Ramis Khabibullin and Sergei Seleznev},
year={2022},
eprint={2210.07154},
archivePrefix={arXiv},
primaryClass={econ.EM}
}

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