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Following a moving target-Monte Carlo inference for dynamic Bayesian models

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  • Walter R. Gilks
  • Carlo Berzuini

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  • Walter R. Gilks & Carlo Berzuini, 2001. "Following a moving target-Monte Carlo inference for dynamic Bayesian models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(1), pages 127-146.
  • Handle: RePEc:bla:jorssb:v:63:y:2001:i:1:p:127-146
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00280
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    Cited by:

    1. repec:eee:reensy:v:133:y:2015:i:c:p:223-236 is not listed on IDEAS
    2. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
    3. Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 206-226.
    4. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    5. Fulop, Andras & Li, Junye, 2013. "Efficient learning via simulation: A marginalized resample-move approach," Journal of Econometrics, Elsevier, vol. 176(2), pages 146-161.
    6. repec:eee:csdana:v:117:y:2018:i:c:p:90-108 is not listed on IDEAS
    7. Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.

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