Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling

DOI10.1080/00949655.2010.485315zbMath1283.62195MaRDI QIDQ5300740

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

zbMATH Keywords

sequential Monte Carlo; nonparametric density estimation; multivariate stochastic volatility; high frequency; multivariate frequency polygon; general state-space model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62G07: Density estimation

62F15: Bayesian inference

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

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Rapid detection of the switching point in a financial market structure using the particle filter

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