Bandwidth selection in pre-smoothed particle filters

DOI10.1007/s11222-015-9591-4zbMath1505.62230arXiv1310.7177OpenAlexW3121273833MaRDI QIDQ340850

Tore Selland Kleppe, Hans Julius Skaug

Publication date: 15 November 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.7177

zbMATH Keywords

kernel smoothinglikelihood estimationstate space modelparticle filteradaptive bandwidth selectionvariance inflation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Uses Software

• EnKF
• KernSmooth

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
• Particle-kernel estimation of the filter density in state-space models
• Bridging the ensemble Kalman filter and particle filters: The adaptive Gaussian mixture filter
• Euro area inflation persistence in an estimated nonlinear DSGE model
• Non-linear DSGE models and the optimized central difference particle filter
• Particle filters for continuous likelihood evaluation and maximisation
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• On correcting for variance inflation in kernel density estimation
• Sequential Monte Carlo Methods in Practice
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
• Practical Filtering with Sequential Parameter Learning
• Asymptotic distributions of functions of a sample covariance matrix under the elliptical distribution
• Likelihood analysis of non-Gaussian measurement time series
• Sequential Monte Carlo Methods for Dynamic Systems
• Filtering via Simulation: Auxiliary Particle Filters
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Efficient Likelihood Evaluation of State-Space Representations
• Uniform Stability of a Particle Approximation of the Optimal Filter Derivative
• Gaussian sum particle filtering
• Estimating Macroeconomic Models: A Likelihood Approach
• Nonlinear Bayesian estimation using Gaussian sum approximations
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models