Particle filters for continuous likelihood evaluation and maximisation
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- Estimating Macroeconomic Models: A Likelihood Approach
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- Euro area inflation persistence in an estimated nonlinear DSGE model
- Filtering via Simulation: Auxiliary Particle Filters
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Cited in
(46)- A Stochastic Volatility Model With a General Leverage Specification
- Numerical fitting-based likelihood calculation to speed up the particle filter
- Dynamic generalized extreme value modeling via particle filters
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Sequential estimation of temporally evolving latent space network models
- Bandwidth selection in pre-smoothed particle filters
- Stochastic quasi-Newton with line-search regularisation
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Bayesian inference for nonlinear structural time series models
- Functional sampling density design for particle filters
- Sequential Monte Carlo optimization and statistical inference
- On idiosyncratic stochasticity of financial leverage effects
- Evidential box particle filter using belief function theory
- Efficient estimation and particle filter for max-stable processes
- Estimation of agent-based models using sequential Monte Carlo methods
- Particle filter-based approximate maximum likelihood inference asymptotics in state-space models
- A new filtering inference procedure for a GED state-space volatility model
- Reversed particle filtering for hidden Markov models
- Latent Gaussian Count Time Series
- Volatility forecasting using stochastic conditional range model with leverage effect
- Boolean Kalman filter and smoother under model uncertainty
- On particle methods for parameter estimation in state-space models
- Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Particle Filters for Multiscale Diffusions
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- Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data
- Particle filtering for continuous-time hidden Markov models
- Bayesian estimation of dynamic asset pricing models with informative observations
- Likelihood function modeling of particle filter in presence of non-stationary non-Gaussian measurement noise
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
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- Stochastic filtering methods in electronic trading
- A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
- On coupling particle filter trajectories
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering
- Maximum likelihood recursive state estimation using the expectation maximization algorithm
- Fast and effective generation of the proposal distribution for particle filters
- Efficient importance sampling in mixture frameworks
- Bellman filtering and smoothing for state-space models
- Estimating Macroeconomic Models: A Likelihood Approach
- Path storage in the particle filter
- Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets
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