Modified Efficient Importance Sampling (MEIS) for non-linear non-Gaussian State Space models#9768
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nguymin-theonlyone wants to merge 5 commits intostatsmodels:mainfrom
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Mar 15, 2026
- closes Fast non-linear non-Gaussian State Space models estimation feature #9706.
- tests added / passed.
- 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
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