BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS

DOI10.1017/S0266466610000599zbMath1226.62021MaRDI QIDQ3100976

Thomas Flury, Neil Shephard

Publication date: 22 November 2011

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

91B82: Statistical methods; economic indices and measures

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