Particle filters for continuous likelihood evaluation and maximisation

DOI10.1016/j.jeconom.2011.07.006zbMath1441.62807OpenAlexW2023360702MaRDI QIDQ738078

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

zbMATH Keywords

simulationimportance samplingfilteringvolatilitystate spaceparticle filterSIR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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