A Survey of Sequential Monte Carlo Methods for Economics and Finance (Q5080148): Difference between revisions

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+Random sampling approach to state estimation in switching environments
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+Nonlinear Bayesian estimation using Gaussian sum approximations
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+Euro area inflation persistence in an estimated nonlinear DSGE model
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+Bayesian Analysis of DSGE Models
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+Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
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+Particle Filtering for Partially Observed Gaussian State Space Models
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+Particle Markov Chain Monte Carlo Methods
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+Fundamentals of stochastic filtering
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+Statistical Inference for Probabilistic Functions of Finite State Markov Chains
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+A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
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+Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
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+Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
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+Smoothing algorithms for state-space models
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+Inference in hidden Markov models.
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+On Gibbs sampling for state space models
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+Particle learning and smoothing
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+Iterated importance sampling in missing data problems
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+Mixture Kalman Filters
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+Stopping-Time Resampling for Sequential Monte Carlo Methods
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+Markov chain Monte Carlo methods for stochastic volatility models.
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+A sequential particle filter method for static models
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+Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
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+Inference and Model Choice for Sequentially Ordered Hidden Markov Models
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+Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
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+A survey of convergence results on particle filtering methods for practitioners
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+Efficient Likelihood Evaluation of State-Space Representations
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+The simulation smoother for time series models
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+Sequential Monte Carlo Samplers
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+An adaptive sequential Monte Carlo method for approximate Bayesian computation
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+Central limit theorem for nonlinear filtering and interacting particle systems
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+On the stability of interacting processes with applications to filtering and genetic algorithms
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+Forgetting the initial distribution for hidden Markov models
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+Convergence of adaptive mixtures of importance sampling schemes
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+Minimum variance importance sampling<i>via</i>Population Monte Carlo
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+Limit theorems for weighted samples with applications to sequential Monte Carlo methods
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+On the auxiliary particle filter
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+Sequential Monte Carlo Methods in Practice
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+Parameter estimation in general state-space models using particle methods
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+A simple and efficient simulation smoother for state space time series analysis
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+On-Line Inference for Hidden Markov Models via Particle Filters
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+A sequential smoothing algorithm with linear computational cost
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+Estimating Macroeconomic Models: A Likelihood Approach
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+BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
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+DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
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+Finite mixture and Markov switching models.
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+Bayesian Inference in Econometric Models Using Monte Carlo Integration
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+Contemporary Bayesian Econometrics and Statistics
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+Following a Moving Target—Monte Carlo Inference for Dynamic Bayesian Models
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+Maximum a posteriori sequence estimation using Monte Carlo particle filters
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+Monte Carlo Smoothing for Nonlinear Time Series
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Monte Carlo technique for prediction and filtering of non-linear stochastic processes
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+Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
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+On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
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+Interacting sequential Monte Carlo samplers for trans-dimensional simulation
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+Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
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+A note on auxiliary particle filters
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+A new method for the nonlinear transformation of means and covariances in filters and estimators
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+Methods of Reducing Sample Size in Monte Carlo Computations
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Non-Gaussian State-Space Modeling of Nonstationary Time Series
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+Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
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+Sequential Imputations and Bayesian Missing Data Problems
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+Testing the assumptions behind importance sampling
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+Recursive Monte Carlo filters: algorithms and theoretical analysis
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+Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
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+Dynamically Weighted Importance Sampling in Monte Carlo Computation
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+Monte Carlo strategies in scientific computing
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+Blind Deconvolution via Sequential Imputations
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+Sequential Monte Carlo Methods for Dynamic Systems
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+A solution of the smoothing problem for linear dynamic systems
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+Integration of Multimodal Functions by Monte Carlo Importance Sampling
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+Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
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+Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
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+Filtering via Simulation: Auxiliary Particle Filters
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+Efficient high-dimensional importance sampling
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+Marginalized particle filters for mixed linear/nonlinear state-space models
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+Likelihood analysis of non-Gaussian measurement time series
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+Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
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+Markov chains for exploring posterior distributions. (With discussion)
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+Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
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+Monte-Carlo technique in problems of optimal information processing
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