Sequential Monte Carlo with model tempering

DOI10.1515/SNDE-2022-0103MaRDI QIDQ6645235zbMATH OpenFDO

Authors Marko Mlikota, Frank Schorfheide

Publication date 28 November 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/SNDE-2022-0103

zbMATH Keywords

Bayesian computationsdynamic stochastic general equilibrium modelssequential Monte Carlostochastic volatilityvector autoregressions

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
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• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
• Monte Carlo strategies in scientific computing
• Online estimation of DSGE models
• Sequential Monte Carlo on large binary sampling spaces
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• SVARs with occasionally-binding constraints
• Tempered particle filtering

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