Filtering via approximate Bayesian computation
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Publication:693364
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- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Adaptive approximate Bayesian computation
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- Dynamic matrix-variate graphical models
- Dynamic mean-variance portfolio analysis under model risk
- Filtering via Simulation: Auxiliary Particle Filters
- Hedge funds. An analytic perspective.
- Inference in hidden Markov models.
- Monte Carlo strategies in scientific computing
- Multivariate geometric stable distributions in financial applications.
- On adaptive resampling strategies for sequential Monte Carlo methods
- Online data processing: comparison of Bayesian regularized particle filters
- On‐Line Portfolio Selection Using Multiplicative Updates
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal quantization methods for nonlinear filtering with discrete-time observations
- Sequential Monte Carlo Methods in Practice
- Smoothing algorithms for state-space models
- Variational Bayesian Filtering
Cited in
(37)- Goodness of fit for models with intractable likelihood
- An approximate likelihood perspective on ABC methods
- Approximate Bayesian inference for agent-based models in economics: a case study
- A likelihood-free filtering method via approximate Bayesian computation in evaluating biological simulation models
- Approximate Bayesian Computation for Smoothing
- Twisting the alive particle filter
- Nonparametric particle filtering approaches for identification and inference in nonlinear state-space dynamic systems
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
- Likelihood-free stochastic approximation EM for inference in complex models
- Likelihood-free approximate Gibbs sampling
- Approximate Bayesian Computation for a Class of Time Series Models
- Parameter estimation for hidden Markov models with intractable likelihoods
- Gradient free parameter estimation for hidden Markov models with intractable likelihoods
- Marginalized approximate filtering of state‐space models
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Adaptive kernels in approximate filtering of state-space models
- Expectation propagation for likelihood-free inference
- The alive particle filter and its use in particle Markov chain Monte Carlo
- Pre-processing for approximate Bayesian computation in image analysis
- Approximating Bayes in the 21st century
- Computing Bayes: from then `til now
- Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models
- Variational Bayesian Filtering
- Filtering With Heavy Tails
- A comparative review of dimension reduction methods in approximate Bayesian computation
- Ensemble Kalman inversion for general likelihoods
- Filtering with state-observation examples via kernel Monte Carlo filter
- Approximate Bayesian computational methods
- Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods
- The ensemble Kalman filter is an ABC algorithm
- Through the looking glass: indirect inference via simple equilibria
- Approximate Bayesian computation: a survey on recent results
- Predictive control of discrete time stochastic nonlinear state space dynamical systems: a particle nonparametric approach
- Updating variational Bayes: fast sequential posterior inference
- On predictive inference for intractable models via approximate Bayesian computation
- Effectiveness of Bayesian filters: an information fusion perspective
- Likelihood-free inference in state-space models with unknown dynamics
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