Practical filtering with sequential parameter learning
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References listed on IDEAS
- Pitt, Michael K, 2002. "Smooth Particle Filters for Likelihood Evaluation and Maximisation," The Warwick Economics Research Paper Series (TWERPS) 651, University of Warwick, Department of Economics.
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- repec:eee:reensy:v:113:y:2013:i:c:p:7-20 is not listed on IDEAS
- Kostas Triantafyllopoulos, 2009. "Inference of Dynamic Generalized Linear Models: On-Line Computation and Appraisal," International Statistical Review, International Statistical Institute, vol. 77(3), pages 430-450, December.
- 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.
- Zhongfang He & John M Maheu, 2008. "Real Time Detection of Structural Breaks in GARCH Models," Working Papers tecipa-336, University of Toronto, Department of Economics.
- Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Staff Working Papers 09-31, Bank of Canada.
- Zhongfang He & John M. Maheu, 2009. "Real Time Detection of Structural Breaks in GARCH Models," Working Paper series 11_09, Rimini Centre for Economic Analysis.
- Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
- Laurent-Emmanuel Calvet & Veronika Czellar, 2011.
"State-Observation Sampling and the Econometrics of Learning Models,"
- Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
- Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
- Håvard Rue & Sara Martino & Nicolas Chopin, 2009. "Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 319-392.
- Creal, D., 2009. "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda 0018, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Ren-Her Wang & John Aston & Cheng-Der Fuh, 2010. "The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 36(4), pages 283-307, December.
- Naoki Awaya & Yasuhiro Omori, 2017. "Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach," CIRJE F-Series CIRJE-F-1066, CIRJE, Faculty of Economics, University of Tokyo.
- Karol Gellert & Erik Schlogl, 2018. "Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation," Papers 1806.05387, arXiv.org.
- Naoki Awaya & Yasuhiro Omori, 2018. "Particle rolling MCMC with double block sampling: conditional SMC update approach," CIRJE F-Series CIRJE-F-1080, CIRJE, Faculty of Economics, University of Tokyo.
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