Estimation of agent-based models using sequential Monte Carlo methods (Q1657383): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2781963368
@@ Property / OpenAlex ID: W2781963368 / rank @@
+Normal rank
@@ Property / cites work @@
+Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
+Normal rank
@@ Property / cites work @@
+Euro area inflation persistence in an estimated nonlinear DSGE model
+Normal rank
@@ Property / cites work @@
+Particle Markov Chain Monte Carlo Methods
@@ Property / cites work: Particle Markov Chain Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Direct comparison of agent-based models of herding in financial markets
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
+Normal rank
@@ Property / cites work @@
+Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area
+Normal rank
@@ Property / cites work @@
+Behavioral heterogeneity in stock prices
@@ Property / cites work: Behavioral heterogeneity in stock prices / rank @@
+Normal rank
@@ Property / cites work @@
+A Rational Route to Randomness
@@ Property / cites work: A Rational Route to Randomness / rank @@
+Normal rank
@@ Property / cites work @@
+Heterogeneous beliefs and routes to chaos in a simple asset pricing model
+Normal rank
@@ Property / cites work @@
+Inference in hidden Markov models.
@@ Property / cites work: Inference in hidden Markov models. / rank @@
+Normal rank
@@ Property / cites work @@
+Particle learning and smoothing
@@ Property / cites work: Particle learning and smoothing / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization
+Normal rank
@@ Property / cites work @@
+The dynamics of speculative behaviour
@@ Property / cites work: The dynamics of speculative behaviour / rank @@
+Normal rank
@@ Property / cites work @@
+A survey of convergence results on particle filtering methods for practitioners
+Normal rank
@@ Property / cites work @@
+Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
+Normal rank
@@ Property / cites work @@
+Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models
+Normal rank
@@ Property / cites work @@
+Estimating Macroeconomic Models: A Likelihood Approach
+Normal rank
@@ Property / cites work @@
+Estimation of a structural stochastic volatility model of asset pricing
+Normal rank
@@ Property / cites work @@
+Structural stochastic volatility in asset pricing dynamics: estimation and model contest
+Normal rank
@@ Property / cites work @@
+A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
+Normal rank
@@ Property / cites work @@
+Estimation of ergodic agent-based models by simulated minimum distance
+Normal rank
@@ Property / cites work @@
+Bayesian estimation of agent-based models
@@ Property / cites work: Bayesian estimation of agent-based models / rank @@
+Normal rank
@@ Property / cites work @@
+Iterated filtering
@@ Property / cites work: Iterated filtering / rank @@
+Normal rank
@@ Property / cites work @@
+On particle methods for parameter estimation in state-space models
+Normal rank
@@ Property / cites work @@
+Estimation of financial agent-based models with simulated maximum likelihood
+Normal rank
@@ Property / cites work @@
+Agent-based model calibration using machine learning surrogates
+Normal rank
@@ Property / cites work @@
+Maximum-likelihood estimation for hidden Markov models
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Methods for Dynamic Systems
+Normal rank
@@ Property / cites work @@
+Particle filters for continuous likelihood evaluation and maximisation
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
+Normal rank
@@ Property / cites work @@
+Simulated likelihood inference for stochastic volatility models using continuous particle filtering
+Normal rank
@@ Property / cites work @@
+A calibration procedure for analyzing stock price dynamics in an agent-based framework
+Normal rank
@@ Property / cites work @@
+Stochastic actor‐oriented models for network change
+Normal rank
@@ Property / cites work @@
+Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
+Normal rank
@@ Property / cites work @@
+Concepts and models of a quantitative sociology. The dynamics of interacting populations
+Normal rank
@@ Property / cites work @@
+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
+Normal rank