Particle Filtering

DOI10.1007/978-3-540-71297-8_44MaRDI QIDQ3646991zbMATH OpenOpenAlexFDO

Authors Michael Johannes, Nicholas G. Polson

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_44

zbMATH Keywords

log-stochastic volatility modelsampling importance resamplingSIR

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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(26)

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• Tempered particle filtering
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• Generalised particle filters with Gaussian mixtures
• Functional sampling density design for particle filters
• The particle filter based on random number searching algorithm for parameter estimation
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• Particle filters and Bayesian inference in financial econometrics
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
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• Time-varying forecasts by variational approximation of sequential Bayesian inference
• Application of filtering methods in asset pricing
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• A tale of two option markets: pricing kernels and volatility risk

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