A survey of sequential Monte Carlo methods for economics and finance
From MaRDI portal
Publication:5080148
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)
Recommendations
Cites work
- scientific article; zbMATH DE number 1666091 (Why is no real title available?)
- scientific article; zbMATH DE number 1666093 (Why is no real title available?)
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 6114079 (Why is no real title available?)
- scientific article; zbMATH DE number 4174133 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- scientific article; zbMATH DE number 1025835 (Why is no real title available?)
- scientific article; zbMATH DE number 1500585 (Why is no real title available?)
- scientific article; zbMATH DE number 1358322 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- scientific article; zbMATH DE number 2230347 (Why is no real title available?)
- scientific article; zbMATH DE number 3088537 (Why is no real title available?)
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A new method for the nonlinear transformation of means and covariances in filters and estimators
- A note on auxiliary particle filters
- A sequential particle filter method for static models
- A sequential smoothing algorithm with linear computational cost
- A simple and efficient simulation smoother for state space time series analysis
- A solution of the smoothing problem for linear dynamic systems
- A survey of convergence results on particle filtering methods for practitioners
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- An introduction to stochastic filtering theory.
- Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
- Bayesian Analysis of DSGE Models
- Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- Blind Deconvolution via Sequential Imputations
- Central limit theorem for nonlinear filtering and interacting particle systems
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Contemporary Bayesian Econometrics and Statistics
- Convergence of adaptive mixtures of importance sampling schemes
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
- Dynamically Weighted Importance Sampling in Monte Carlo Computation
- Efficient Likelihood Evaluation of State-Space Representations
- Efficient high-dimensional importance sampling
- Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
- Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
- Estimating Macroeconomic Models: A Likelihood Approach
- Euro area inflation persistence in an estimated nonlinear DSGE model
- Filtering via Simulation: Auxiliary Particle Filters
- Finite mixture and Markov switching models.
- Following a moving target -- Monte Carlo inference for dynamic Bayesian models
- Forgetting the initial distribution for hidden Markov models
- Fundamentals of stochastic filtering
- Inference and Model Choice for Sequentially Ordered Hidden Markov Models
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- Inference in hidden Markov models.
- Integration of Multimodal Functions by Monte Carlo Importance Sampling
- Interacting sequential Monte Carlo samplers for trans-dimensional simulation
- Iterated importance sampling in missing data problems
- Likelihood analysis of non-Gaussian measurement time series
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Marginalized particle filters for mixed linear/nonlinear state-space models
- Markov chain Monte Carlo methods for stochastic volatility models.
- Markov chains for exploring posterior distributions. (With discussion)
- Maximum a posteriori sequence estimation using Monte Carlo particle filters
- Methods of reducing sample size in Monte Carlo computations
- Minimum variance importance samplingviaPopulation Monte Carlo
- Mixture Kalman Filters
- Monte Carlo Smoothing for Nonlinear Time Series
- Monte Carlo strategies in scientific computing
- Monte Carlo technique for prediction and filtering of non-linear stochastic processes
- Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
- Monte-Carlo technique in problems of optimal information processing
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Nonlinear Bayesian estimation using Gaussian sum approximations
- Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
- On Gibbs sampling for state space models
- On the auxiliary particle filter
- 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
- On the stability of interacting processes with applications to filtering and genetic algorithms
- On-Line Inference for Hidden Markov Models via Particle Filters
- Parameter estimation in general state-space models using particle methods
- Particle Filtering for Partially Observed Gaussian State Space Models
- Particle Markov Chain Monte Carlo Methods
- Particle learning and smoothing
- Random sampling approach to state estimation in switching environments
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Sequential Imputations and Bayesian Missing Data Problems
- Sequential Monte Carlo Methods for Dynamic Systems
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
- Smoothing algorithms for state-space models
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- State space and hidden Markov models
- Statistical Inference for Probabilistic Functions of Finite State Markov Chains
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Stopping-Time Resampling for Sequential Monte Carlo Methods
- Testing the assumptions behind importance sampling
- The simulation smoother for time series models
- Time series analysis by state space methods
Cited in
(48)- Hamiltonian sequential Monte Carlo with application to consumer choice behavior
- Periodically collapsing Evans bubbles and stock-price volatility
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Convex non-parametric least squares, causal structures and productivity
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Time series of count data: a review, empirical comparisons and data analysis
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Estimation of agent-based models using sequential Monte Carlo methods
- On a model of environmental performance and technology gaps
- On recursive Bayesian predictive distributions
- Sequential Bayesian inference for vector autoregressions with stochastic volatility
- Maximum likelihood estimation of the Markov-switching GARCH model
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- High dimensional dynamic stochastic copula models
- Time-varying combinations of predictive densities using nonlinear filtering
- The dynamic factor network model with an application to international trade
- A sparse matrix formulation of model-based ensemble Kalman filter
- Efficient estimation of conditionally linear and Gaussian state space models
- DSGE pileups
- Option pricing under stochastic volatility models with latent volatility
- A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
- Sequential Monte Carlo methods for option pricing
- Bayesian Inference in Common Microeconometric Models With Massive Datasets by Double Marginalized Subsampling
- Specification tests based on MCMC output
- An introduction to particle methods with financial applications
- Second-order extended particle filter with exponential family observation model
- Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
- Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
- Particle filters and Bayesian inference in financial econometrics
- Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics
- Sequentially adaptive Bayesian learning algorithms for inference and optimization
- A Bayesian chi-squared test for hypothesis testing
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Sequential Monte Carlo methods in Bayesian joint models for longitudinal and time-to-event data
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- A flexible predictive density combination for large financial data sets in regular and crisis periods
- Tempered particle filtering
- Deviance information criterion for latent variable models and misspecified models
- Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
- Management and takeover decisions
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
- Learning for infinitely divisible GARCH models in option pricing
- Efficient inference for nonlinear state space models: an automatic sample size selection rule
- Bayesian inference of multivariate rotated GARCH models with skew returns
This page was built for publication: A survey of sequential Monte Carlo methods for economics and finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5080148)
