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Sequential Inference and State Number Determination for Discrete State-Space Models through Particle Filtering

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  • Nicolas Chopin

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  • Nicolas Chopin, 2001. "Sequential Inference and State Number Determination for Discrete State-Space Models through Particle Filtering," Working Papers 2001-34, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2001-34
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    File URL: http://crest.science/RePEc/wpstorage/2001-34.pdf
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    Cited by:

    1. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
    2. Nicolas Chopin, 2002. "Central Limit Theorem for Sequential Monte Carlo Methods and its Applications to Bayesian Inference," Working Papers 2002-44, Center for Research in Economics and Statistics.
    3. repec:dau:papers:123456789/6830 is not listed on IDEAS
    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. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, University Library of Munich, Germany, revised 28 Mar 2005.
    6. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, University Library of Munich, Germany.

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