Chen-Xu Li

Estimation and Inference for Latent Markov Models by Fourier Recursions

This paper proposes a new theoretically exact Fourier recursion framework for a broad class of latent Markov models (LMMs), encompassing models widely used across a broad range of fields in economics. It can be viewed as a counterpart of the celebrated Kalman filter for non-Gaussian and nonlinear LMMs. Closed-form recu...