Introduces an optimal-transport-based filtering and estimation procedure that produces model-consistent filtered series and an estimator with derived large-sample properties for dynamically misspecified state-space models.
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2024 1verdicts
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Fitting Dynamically Misspecified Models: An Optimal Transportation Approach
Introduces an optimal-transport-based filtering and estimation procedure that produces model-consistent filtered series and an estimator with derived large-sample properties for dynamically misspecified state-space models.