Fitting Dynamically Misspecified Models: An Optimal Transportation Approach
动态误设模型的拟合:最优传输方法
This paper considers filtering, parameter estimation, and testing for potentially dynamically misspecified state-space models. When dynamics are misspecified, filtered values of state variables often do not satisfy model restrictions, making them hard to interpret, and parameter estimates may fail to characterize the dynamics of filtered variables. To address this, a sequential optimal transportation approach is used to generate a model-consistent sample by mapping…