Exam Questions Flashcards
1
Q
What is the Log Likelihood of a State Space Model? What is a diffuse Log Likelihood?
A
2
Q
How do you rewrite an ARMA model to a State Space model?
A
3
Q
What are the steps to proof the Kalman Filter/Smoother?
A
4
Q
What is a Quasi-Maximum Likelihood?
A
5
Q
What is the difference between Importance Sampling and Particle Filtering?
A
6
Q
When is Simulation Smoothing used?
A
7
Q
What are Extended Kalman Filters/Smoothers used for? How do they work?
A
8
Q
When are Mode Estimations used?
A
9
Q
How do Mode Estimations work?
A
10
Q
How do particle filters work?
A
11
Q
What is the SDPK-procedure? When is it used?
A
12
Q
Why are each of the three Lemma’s important?
A
13
Q
What is the non-diffuse initialization?
A
14
Q
What is the importance density for the Bootstrap-filter?
A
