A Survey of Sequential Monte Carlo Methods for Economics and Finance

DOI10.1080/07474938.2011.607333zbMath1491.62008MaRDI QIDQ5080148

Drew D. Creal

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/991e471a-a074-42a1-8206-0fbef56a3d93

zbMATH Keywords

Markov chain Monte Carlo; Kalman filter; state space models; sequential Monte Carlo; particle filter

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

65C05: Monte Carlo methods

Related Items

On Recursive Bayesian Predictive Distributions, Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions, Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters, Second-order extended particle filter with exponential family observation model, Bayesian inference of multivariate rotated GARCH models with skew returns, Option pricing under stochastic volatility models with latent volatility, A flexible predictive density combination for large financial data sets in regular and crisis periods, Hamiltonian sequential Monte Carlo with application to consumer choice behavior, Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model, A sparse matrix formulation of model-based ensemble Kalman filter, Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence, Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics, Periodically collapsing Evans bubbles and stock-price volatility, Efficient estimation of conditionally linear and Gaussian state space models, A Bayesian chi-squared test for hypothesis testing, On some properties of Markov chain Monte Carlo simulation methods based on the particle filter, A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving, High dimensional dynamic stochastic copula models, Maximum likelihood estimation of the Markov-switching GARCH model, DSGE pileups, Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox, Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure, Sequentially adaptive Bayesian learning algorithms for inference and optimization, Tempered particle filtering, Forecast density combinations of dynamic models and data driven portfolio strategies, Filtering and estimation for a class of stochastic volatility models with intractable likelihoods, Specification tests based on MCMC output, Management and takeover decisions, Deviance information criterion for latent variable models and misspecified models, The dynamic factor network model with an application to international trade, Sequential Bayesian inference for vector autoregressions with stochastic volatility, On a model of environmental performance and technology gaps, A fast and efficient Markov chain Monte Carlo method for market microstructure model, Time series of count data: a review, empirical comparisons and data analysis, Estimation of affine term structure models with spanned or unspanned stochastic volatility, Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models, Efficient inference for nonlinear state space models: an automatic sample size selection rule, Time-varying combinations of predictive densities using nonlinear filtering, Convex non-parametric least squares, causal structures and productivity, Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule, Learning for infinitely divisible GARCH models in option pricing, Sequential Monte Carlo methods in Bayesian joint models for longitudinal and time-to-event data

Uses Software

• Ox

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• Efficient high-dimensional importance sampling
• Testing the assumptions behind importance sampling
• Euro area inflation persistence in an estimated nonlinear DSGE model
• An adaptive sequential Monte Carlo method for approximate Bayesian computation
• Particle learning and smoothing
• Smoothing algorithms for state-space models
• Fundamentals of stochastic filtering
• A note on auxiliary particle filters
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• Iterated importance sampling in missing data problems
• Convergence of adaptive mixtures of importance sampling schemes
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
• Forgetting the initial distribution for hidden Markov models
• Interacting sequential Monte Carlo samplers for trans-dimensional simulation
• Monte-Carlo technique in problems of optimal information processing
• Random sampling approach to state estimation in switching environments
• Central limit theorem for nonlinear filtering and interacting particle systems
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Markov chain Monte Carlo methods for stochastic volatility models.
• Parameter estimation in general state-space models using particle methods
• Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
• Markov chains for exploring posterior distributions. (With discussion)
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Inference in hidden Markov models.
• Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
• Finite mixture and Markov switching models.
• A solution of the smoothing problem for linear dynamic systems
• Monte Carlo technique for prediction and filtering of non-linear stochastic processes
• Following a Moving Target—Monte Carlo Inference for Dynamic Bayesian Models
• Sequential Monte Carlo Methods in Practice
• Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• Sequential Monte Carlo Samplers
• A sequential smoothing algorithm with linear computational cost
• On the auxiliary particle filter
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Sequential Imputations and Bayesian Missing Data Problems
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Likelihood analysis of non-Gaussian measurement time series
• Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
• A sequential particle filter method for static models
• A simple and efficient simulation smoother for state space time series analysis
• Dynamically Weighted Importance Sampling in Monte Carlo Computation
• Mixture Kalman Filters
• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Sequential Monte Carlo Methods for Dynamic Systems
• Filtering via Simulation: Auxiliary Particle Filters
• Particle Markov Chain Monte Carlo Methods
• On-Line Inference for Hidden Markov Models via Particle Filters
• Particle Filtering for Partially Observed Gaussian State Space Models
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• The simulation smoother for time series models
• Blind Deconvolution via Sequential Imputations
• Efficient Likelihood Evaluation of State-Space Representations
• Integration of Multimodal Functions by Monte Carlo Importance Sampling
• Bayesian Analysis of DSGE Models
• Stopping-Time Resampling for Sequential Monte Carlo Methods
• A survey of convergence results on particle filtering methods for practitioners
• Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
• Marginalized particle filters for mixed linear/nonlinear state-space models
• Methods of Reducing Sample Size in Monte Carlo Computations
• Inference and Model Choice for Sequentially Ordered Hidden Markov Models
• Estimating Macroeconomic Models: A Likelihood Approach
• Minimum variance importance samplingviaPopulation Monte Carlo
• Monte Carlo Smoothing for Nonlinear Time Series
• Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Contemporary Bayesian Econometrics and Statistics
• On the stability of interacting processes with applications to filtering and genetic algorithms
• Monte Carlo strategies in scientific computing
• Maximum a posteriori sequence estimation using Monte Carlo particle filters