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Modified Efficient Importance Sampling (MEIS) for non-linear non-Gaussian State Space models#9768

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Modified Efficient Importance Sampling (MEIS) for non-linear non-Gaussian State Space models#9768
nguymin-theonlyone wants to merge 5 commits intostatsmodels:mainfrom
nguymin-theonlyone:meis-for-nonlinear-nongaussian-ssm

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nguymin-theonlyone and others added 4 commits March 1, 2026 15:00
- meis.py: Fixed iterative OLS convergence (c_t/b_t clamping), Unicode
  encoding, verbose guards, proper initialization from model, correct
  importance weight formula, fit_meis with untransformed parameter space
- test_meis.py: Gaussian gold-standard validation (4 tests: likelihood
  match, convergence, different params, parameter estimation)
- sv_meis_example.py: SV-t grid search (sigma_eta only)
- sv_meis_full_estimation.py: SV-t full 4-parameter estimation (new)
- All imports updated to use statsmodels.tsa.statespace.meis
Implement Modified Efficient Importance Sampling (Koopman, Lit & Nguyen,
2018) for likelihood evaluation and parameter estimation in partially
non-Gaussian state space models.

New classes: MEISMixin, MEISImportanceDensity, MEISLikelihood,
MEISResults, DurbinKoopmanSimulator.

- Add comprehensive numpydoc docstrings on all public API
- Use numpy.random.Generator (not legacy np.random.seed) per NEP 19
- Gate verbose output behind flag; remove debug prints
- Export MEIS classes from statespace.api
- Add Gaussian gold-standard tests (MEIS matches Kalman filter)
- Add documentation page and release notes entry
- Fix flake8 lint issues across all files
@nguymin-theonlyone nguymin-theonlyone changed the title Meis for nonlinear nongaussian ssm Modified Efficient Importance Sampling (MEIS) for non-linear non-Gaussian State Space models Mar 15, 2026
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Fast non-linear non-Gaussian State Space models estimation feature

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