Particle efficient importance sampling
From MaRDI portal
Publication:894644
DOI10.1016/j.jeconom.2015.03.047zbMath1419.62247arXiv1309.6745OpenAlexW1534371749MaRDI QIDQ894644
Publication date: 2 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.6745
stochastic volatilitysequential Monte CarloBayesian inferenceparticle filtersparticle marginal Metropolis-Hastings
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)
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