Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling

DOI10.1080/00949655.2010.485315zbMATH Open1283.62195OpenAlexW2170026607MaRDI QIDQ5300740FDOQ5300740

Authors: Jan C. Neddermeyer 

Publication date: 28 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.485315

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zbMATH Keywords

sequential Monte Carlononparametric density estimationmultivariate stochastic volatilityhigh frequencymultivariate frequency polygongeneral state-space model

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

Cites Work

• Mersenne twister
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• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
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• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
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• A sequential smoothing algorithm with linear computational cost
• A survey of convergence results on particle filtering methods for practitioners
• Monte Carlo Smoothing for Nonlinear Time Series
• Independent Particle Filters
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Multivariate Stochastic Volatility: A Review
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• Randomized quasi-Monte Carlo methods in pricing securities
• Central limit theorem for nonlinear filtering and interacting particle systems
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• Computationally efficient nonparametric importance sampling
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• Quasi-Monte Carlo filtering in nonlinear dynamic systems

Cited In (12)

• Sequential quasi-Monte Carlo: introduction for non-experts, dimension reduction, application to partly observed diffusion processes
• Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
• Particle smoothing via Markov chain Monte Carlo in general state space models
• Convergence of sequential quasi-Monte Carlo smoothing algorithms
• Particle Smoothing in Continuous Time: A Fast Approach via Density Estimation
• Particle learning for Bayesian semi-parametric stochastic volatility model
• Sequential Monte Carlo smoothing with parameter estimation
• Title not available (Why is that?)
• Bandwidth selection in pre-smoothed particle filters
• On quasi-Monte Carlo techniques in particle filters for robotics
• Rapid detection of the switching point in a financial market structure using the particle filter
• Sequential quasi Monte Carlo. With discussion and authors' reply

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