Rao-Blackwellization plus a 2-step percentile approximation makes self-organizing state-space estimation use 100 times fewer particles and cuts cpu-time by 10 to 40 times for seasonal adjustment.
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Enhancing Computational Efficiency in State-Space Models Using Rao-Blackwellization and 2-Step Approximation
Rao-Blackwellization plus a 2-step percentile approximation makes self-organizing state-space estimation use 100 times fewer particles and cuts cpu-time by 10 to 40 times for seasonal adjustment.