Nonlinear and nonnormal filter using importance sampling: antithetic monte carlo integration

DOI10.1080/03610919908813560zbMath0940.93070OpenAlexW2059106457MaRDI QIDQ4266856

Hisashi Tanizaki

Publication date: 11 July 2000

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919908813560

zbMATH Keywords

simulationimportance samplingresamplingfilteringstate-space modelantithetic Monte Carlo method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05)

Related Items (1)

Fast continuous-discrete DAF-filters

Cites Work

• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Recursive Bayesian estimation using piecewise constant approximations
• Markov chain Monte Carlo in conditionally Gaussian state space models
• On Gibbs sampling for state space models
• On the nonlinear and nonnormal filter using rejection sampling
• Bayesian Inference in Econometric Models Using Monte Carlo Integration

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