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Is a Small Monte Carlo Analysis a Good Analysis? Checking the Size, Power and Consistency of a Simulation-Based Test
(Springer, 2002)
In this paper we study the relationship between the number of
replications and the accuracy of the estimated quantiles of a distribution
obtained by simulation. A method for testing hypotheses on the quantiles
of a ...
Kalman Filtering in R
(Journal of Statistical Software, 2011-03)
Support in R for state space estimation via Kalman filtering was limited to one package, until fairly recently. In the last five years, the situation has changed with no less than four additional packages offering general ...