Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling

DOI10.1080/00949655.2010.485315MaRDI QIDQ5300740zbMATH OpenOpenAlexFDO

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

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)

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• Mersenne twister
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• Sequential Monte Carlo Methods in Practice

Cited in

(12)

• Bandwidth selection in pre-smoothed particle filters
• Particle learning for Bayesian semi-parametric stochastic volatility model
• Particle Smoothing in Continuous Time: A Fast Approach via Density Estimation
• Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
• Sequential quasi-Monte Carlo: introduction for non-experts, dimension reduction, application to partly observed diffusion processes
• Convergence of sequential quasi-Monte Carlo smoothing algorithms
• Sequential quasi Monte Carlo. With discussion and authors' reply
• Sequential Monte Carlo smoothing with parameter estimation
• Particle smoothing via Markov chain Monte Carlo in general state space models
• scientific article; zbMATH DE number 6469926 (Why is no real title available?)
• Rapid detection of the switching point in a financial market structure using the particle filter
• On quasi-Monte Carlo techniques in particle filters for robotics

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