Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
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Publication:5300740
DOI10.1080/00949655.2010.485315zbMath1283.62195MaRDI QIDQ5300740
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
sequential Monte Carlo; nonparametric density estimation; multivariate stochastic volatility; high frequency; multivariate frequency polygon; general state-space model
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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