CIRJE-F-221. Omori, Yasuhiro and Toshiaki Watanabe, "Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors", May 2003.

In a linear Gaussian state-space time series analysis, a disturbance smoother and a simulation smoother are widely used procedures for smoothing and sampling state or disturbance vectors given observations. Several smoothing procedures are also proposed for a non-Gaussian observation process. However, it is assumed that a state equation is linear and that an observation vector and a state vector are conditionally independent. These as-sumptions often need to be relaxed in the analysis of real data. Thus this article considers a general state-space model with a non-Gaussian observation process and a nonlinear state equation where an observation vector and a state vector are allowed to be dependent. We describe a disturbance smoother and a simulation smoother for such models and give numerical examples using simulated data and real data.