Particle filters for continuous likelihood evaluation and maximisation
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Publication:738078
DOI10.1016/J.JECONOM.2011.07.006zbMATH Open1441.62807OpenAlexW2023360702MaRDI QIDQ738078FDOQ738078
Authors: Sheheryar Malik, Michael K. Pitt 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.006
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Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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Cited In (46)
- On particle methods for parameter estimation in state-space models
- Sequential estimation of temporally evolving latent space network models
- Evidential box particle filter using belief function theory
- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
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- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- Sequential Monte Carlo optimization and statistical inference
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- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Bayesian estimation of dynamic asset pricing models with informative observations
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- A new filtering inference procedure for a GED state-space volatility model
- Bellman filtering and smoothing for state-space models
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- Particle filters for partially-observed Boolean dynamical systems
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