Filtering via Simulation: Auxiliary Particle Filters

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Sequential Monte Carlo estimation of aerosol size distributions
A new real-time suboptimum filtering and prediction scheme for general nonlinear discrete dynamic systems with Gaussian or non-Gaussian noise
Online semiparametric regression via sequential Monte Carlo
On particle methods for parameter estimation in state-space models
A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification
Copula particle filters
The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
Markov chain Monte Carlo methods for stochastic volatility models.
A divide and conquer sequential Monte Carlo approach to high dimensional filtering
Approximating optimal SMC proposal distributions in individual-based epidemic models
Particle-based, rapid incremental smoother meets particle Gibbs
Resampling strategy in sequential Monte Carlo for constrained sampling problems
Iterated gain-based stochastic filters for dynamic system identification
Particle filters
Nudging the particle filter
Probabilistic logic programming for hybrid relational domains
Non‐trading day effects in asymmetric conditional and stochastic volatility models
A method for high-dimensional smoothing
Simulation-based estimation methods for financial time series models
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
Vectorized and parallel particle filter SMC parameter estimation for stiff ODEs
Bayesian analysis of traffic flow on interstate I-55: the LWR model
Uniform Stability of a Particle Approximation of the Optimal Filter Derivative
Bayesian computational methods for state-space models with application to SIR model
Bayesian Analysis of DSGE Models
Variational system identification for nonlinear state-space models
Computational aspects of sequential Monte Carlo filter and smoother
Sequential estimation of temporally evolving latent space network models
A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
Particle filtering for Gumbel‐distributed daily maxima of methane and nitrous oxide
Real time detection of structural breaks in GARCH models
DSGE models with Student-t errors
Inference for reaction networks using the linear noise approximation
On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
A family of multivariate non‐gaussian time series models
Hyperparameter estimation in forecast models.
Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
A Bayesian simulation approach to inference on a multi-state latent factor intensity model
An information field theory approach to Bayesian state and parameter estimation in dynamical systems
Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
Estimating mixed-effects state-space models via particle filters and the EM algorithm
Monte Carlo Inference for State–Space Models of Wild Animal Populations
Sequential Monte Carlo smoothing for general state space hidden Markov models
A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
Sequential Monte Carlo methods for joint detection and tracking of multiaspect targets in infrared radar images
Simultaneous eye tracking and blink detection with interactive particle filters
Filtering via approximate Bayesian computation
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Particle filters for continuous likelihood evaluation and maximisation
Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation
Forecast density combinations of dynamic models and data driven portfolio strategies
On goodness of fit for time series regression models
Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
Another prediction method and application to low-power wide-area networks
A state prediction scheme for discrete time nonlinear dynamic systems
Monte Carlo filters for identification of nonlinear structural dynamical systems
Particle predictive control
Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
Particle learning and smoothing
Multi-stage stochastic frontier analysis for simple networks
Bayesian inference of asymmetric stochastic conditional duration models
Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Reversed particle filtering for hidden Markov models
Inference of dynamic generalized linear models: on-line computation and appraisal
Simulated maximum likelihood in autoregressive models with stochastic volatility errors
Particle Metropolis-Hastings using gradient and Hessian information
Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
A class of nonlinear stochastic volatility models and its implications for pricing currency options
An approach to periodic, time-varying parameter estimation using nonlinear filtering
Dynamic changepoint detection in count time series: a particle filter approach
Fast and Numerically Stable Particle-Based Online Additive Smoothing: The AdaSmooth Algorithm
Direct, prediction- and smoothing-based Kalman and particle filter algorithms
Comparison of asymmetric stochastic volatility models under different correlation structures
Using Monte Carlo particle methods to estimate and quantify uncertainty in periodic parameters (research)
Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
Realized stochastic volatility with leverage and long memory
Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
Leverage, heavy-tails and correlated jumps in stochastic volatility models
Bayesian inference for nonlinear multivariate diffusion models observed with error
Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
Correctness of sequential Monte Carlo inference for probabilistic programming languages
American Option Valuation with Particle Filters
Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
Importance sampling: intrinsic dimension and computational cost
Stochastic filtering methods in electronic trading
Twisted particle filters
An optimal control approach to particle filtering
Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
Efficient high-dimensional importance sampling
Estimating structural credit risk models when market prices are contaminated with noise
Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
Particle Filters for nonlinear data assimilation in high-dimensional systems
Sequentially interacting Markov chain Monte Carlo methods
Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
Multivariate Stochastic Volatility: A Review
Robust Monte Carlo localization for mobile robots

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