Copula particle filters

DOI10.1016/J.CSDA.2021.107230OpenAlexW3143341451MaRDI QIDQ2242018FDOQ2242018

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

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zbMATH Keywords

Gaussian copulastate space modelmixture of copulas

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Modeling infectious diseases in humans and animals
• Stochastic processes and filtering theory
• An introduction to copulas.
• Filtering via Simulation: Auxiliary Particle Filters
• On particle methods for parameter estimation in state-space models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Gaussian filters for nonlinear filtering problems
• A Numerical-Integration Perspective on Gaussian Filters
• Partial correlation with copula modeling
• State-space models. Applications in economics and finance
• Bayesian filtering and smoothing
• On recursive Bayesian predictive distributions
• Dynamic Bayesian beta models
• Searching for efficient Markov chain Monte Carlo proposal kernels

Cited In (2)

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

Uses Software

• R
• quantmod
• BRENT
• nimble

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