A survey of sequential Monte Carlo methods for economics and finance (Q5080148)

scientific article; zbMATH DE number 7534046

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English	A survey of sequential Monte Carlo methods for economics and finance	scientific article; zbMATH DE number 7534046

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instance of

scholarly article

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title

A Survey of Sequential Monte Carlo Methods for Economics and Finance (English)

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published in

Econometric Reviews

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publication date

31 May 2022

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full work available at URL

https://research.vu.nl/en/publications/991e471a-a074-42a1-8206-0fbef56a3d93

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zbMATH Keywords

Kalman filter

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Markov chain Monte Carlo

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particle filter

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sequential Monte Carlo

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state space models

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author

Drew Creal

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describes a project that uses

Ox

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MaRDI profile type

MaRDI publication profile

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cites work

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Identifiers

zbMATH Open document ID

1491.62008

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DOI

10.1080/07474938.2011.607333

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5080148