@techreport{calvet:hal-00625500, TITLE = {{State-Observation Sampling and the Econometrics of Learning Models}}, AUTHOR = {Calvet, Laurent-Emmanuel and Czellar, Veronika}, URL = {https://hec.hal.science/hal-00625500}, NOTE = {Cahier de recherche du Groupe HEC Paris, n{\textdegree} 947/2011}, YEAR = {2011}, MONTH = Sep, KEYWORDS = {Hidden Markov model ; particle filter ; state-observation sampling ; learning ; indirect inference ; forecasting ; state space model ; value at risk}, HAL_ID = {hal-00625500}, HAL_VERSION = {v1}, }