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Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation

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  • Cappé Olivier

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  • Cappé Olivier, 2001. "Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 81-92, December.
    • Handle: RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:81-92:n:21
    DOI: 10.1515/mcma.2001.7.1-2.81
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    References listed on IDEAS

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    1. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
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