Filtering via Simulation: Auxiliary Particle Filters
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(only showing first 100 items - show all)- 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
- Pairwise likelihood inference for ordinal categorical time series
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- A Kushner approach for small random perturbations of the Duffing-van der Pol system
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Hyperparameter estimation in forecast models.
- Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
- Realized stochastic volatility with leverage and long memory
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
- Sequential Monte Carlo smoothing with parameter estimation
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Shifts in volatility driven by large stock market shocks
- Matrix exponential stochastic volatility with cross leverage
- Improved distributed particle filters for tracking in a wireless sensor network
- Inference for differential equation models using relaxation via dynamical systems
- Sequential Bayesian inference for static parameters in dynamic state space models
- An auxiliary particle filter for nonlinear dynamic equilibrium models
- Filtering for partially observed diffusion and its applications
- Bayesian estimation of state space models using moment conditions
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
- A method for high-dimensional smoothing
- Bayesian estimation of dynamic asset pricing models with informative observations
- Tempered particle filtering
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Importance sampling: intrinsic dimension and computational cost
- Effectiveness of Bayesian filters: an information fusion perspective
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
- Specification tests based on MCMC output
- Markov chain Monte Carlo methods for stochastic volatility models.
- Spatial-temporal nonlinear filtering based on hierarchical statistical models
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
- Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Online data processing: comparison of Bayesian regularized particle filters
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Particle filters for magnetoencephalography
- Making inference of British household's happiness efficiency: a Bayesian latent model
- A Kalman particle filter for online parameter estimation with applications to affine models
- A closed-form filter for binary time series
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
- Variational system identification for nonlinear state-space models
- A drift homotopy implicit particle filter method for nonlinear filtering problems
- Kernel learning backward SDE filter for data assimilation
- Sequential modeling, monitoring, and forecasting of streaming web traffic data
- Efficient particle smoothing for Bayesian inference in dynamic survival models
- Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
- A new filtering inference procedure for a GED state-space volatility model
- Maximum likelihood recursive state estimation using the expectation maximization algorithm
- Deviance information criterion for latent variable models and misspecified models
- Particle methods for statistical inference and design optimization
- Efficient inference in state-space models through adaptive learning in online Monte Carlo expectation maximization
- Controlled sequential Monte Carlo
- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- A direct filter method for parameter estimation
- Correctness of sequential Monte Carlo inference for probabilistic programming languages
- Copula particle filters
- Motor unit number estimation via sequential Monte Carlo
- Clustered exact Daum-Huang particle flow filter
- Nudging the particle filter
- Negative association, ordering and convergence of resampling methods
- Sequential state inference of engineering systems through the particle move-reweighting algorithm
- Efficient \(\mathrm{SMC}^2\) schemes for stochastic kinetic models
- Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation
- Estimating dynamic equilibrium models with stochastic volatility
- Bayesian inference for Markov jump processes with informative observations
- Bayesian semiparametric Wiener system identification
- The auxiliary iterated extended Kalman particle filter
- Sequential estimation of mixtures of structured autoregressive models
- Mixture ensemble Kalman filters
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Inference for stochastic volatility models using time change transformations
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Inference for a class of partially observed point process models
- A particle filter-based framework for real-time state estimation of a non-linear hyperbolic PDE system describing transient flows in \(\mathrm{CO}_2\) pipelines
- A non-iterative (trivial) method for posterior inference in stochastic volatility models
- Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models
- A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error
- Efficient inference for nonlinear state space models: an automatic sample size selection rule
- A particle filtering approach for tracking an unknown number of objects with dynamic relations
- Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
- News impact curve for stochastic volatility models
- Real time detection of structural breaks in GARCH models
- Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
- Twisted particle filters
- A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification
- A higher order correlation unscented Kalman filter
- Particle-filter-based estimation and prediction of chaotic states
- Multivariate stochastic volatility with Bayesian dynamic linear models
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Marginal likelihood for Markov-switching and change-point GARCH models
- Lookahead strategies for sequential Monte Carlo
- On particle methods for parameter estimation in state-space models
- A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
- Vectorized and parallel particle filter SMC parameter estimation for stiff ODEs
- Bayesian analysis of traffic flow on interstate I-55: the LWR model
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