A Survey of Sequential Monte Carlo Methods for Economics and Finance
From MaRDI portal
Publication:5080148
DOI10.1080/07474938.2011.607333zbMath1491.62008MaRDI QIDQ5080148
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
Markov chain Monte Carlo; Kalman filter; state space models; sequential Monte Carlo; particle filter
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
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Uses Software
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