Efficient learning via simulation: a marginalized resample-move approach
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A sequential particle filter method for static models
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A theory of the term structure of interest rates
- Bayesian analysis of structural credit risk models with microstructure noises
- Estimating the degree of activity of jumps in high frequency data
- Estimating the structural credit risk model when equity prices are contaminated by trading noises
- Following a moving target -- Monte Carlo inference for dynamic Bayesian models
- scientific article; zbMATH DE number 1666093 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- Nonparametric tests for pathwise properties of semimartingales
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Particle learning and smoothing
- Particle Markov Chain Monte Carlo Methods
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Stochastic Volatility for Lévy Processes
- The pseudo-marginal approach for efficient Monte Carlo computations
- The Variance Gamma Process and Option Pricing
- Time series analysis by state space methods
Cited in
(18)- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- Corporate credit risk prediction under stochastic volatility and jumps
- A switching self-exciting jump diffusion process for stock prices
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Real-time Bayesian learning and bond return predictability
- Efficient \(\mathrm{SMC}^2\) schemes for stochastic kinetic models
- On particle methods for parameter estimation in state-space models
- Scalable inference for a full multivariate stochastic volatility model
- Learning for infinitely divisible GARCH models in option pricing
- Sequential Bayesian inference for implicit hidden Markov models and current limitations
- Practical Filtering with Sequential Parameter Learning
- Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model
- Smoothing with couplings of conditional particle filters
- Bayesian model comparison with the Hyvärinen score: computation and consistency
- An Invitation to Sequential Monte Carlo Samplers
- Particle rolling MCMC with double-block sampling
- Sequential Monte Carlo optimization and statistical inference
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