Copula particle filters

DOI10.1016/J.CSDA.2021.107230MaRDI QIDQ2242018zbMATH OpenOpenAlexFDO

Authors Carlos E. Rodríguez, Stephen G. Walker

Publication date 9 November 2021

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2021.107230

zbMATH Keywords

Gaussian copulastate space modelmixture of copulas

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 481933 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• A Numerical-Integration Perspective on Gaussian Filters
• An introduction to copulas.
• Bayesian filtering and smoothing
• Dynamic Bayesian beta models
• Filtering via Simulation: Auxiliary Particle Filters
• Gaussian filters for nonlinear filtering problems
• Modeling infectious diseases in humans and animals
• On particle methods for parameter estimation in state-space models
• On recursive Bayesian predictive distributions
• Partial correlation with copula modeling
• Searching for efficient Markov chain Monte Carlo proposal kernels
• Sequential Monte Carlo Methods in Practice
• State-space models. Applications in economics and finance
• Stochastic processes and filtering theory

Cited in

(2)

• Bayesian multivariate nonlinear state space copula models
• On coupling particle filter trajectories

Describes a project that uses

Uses Software

• nimble
• BRENT
• quantmod
• R

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