Tempered Particle Filtering
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
References listed on IDEAS
- Robert Kollmann, 2015.
"Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning,"
Springer;Society for Computational Economics, vol. 45(2), pages 239-260, February.
- Robert Kollmann, 2014. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," ULB Institutional Repository 2013/250061, ULB -- Universite Libre de Bruxelles.
- Bognanni, Mark & Herbst, Edward, 2014.
"Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach,"
1427, Federal Reserve Bank of Cleveland.
- Bognanni, Mark & Herbst, Edward, 2015. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Finance and Economics Discussion Series 2015-116, Board of Governors of the Federal Reserve System (U.S.).
- Nicolas Chopin, 2002.
"A sequential particle filter method for static models,"
Biometrika Trust, vol. 89(3), pages 539-552, August.
- Nicolas Chopin, 2000. "A Sequential Particle Filter Method for Static Models," Working Papers 2000-45, Center for Research in Economics and Statistics.
- Ajay Jasra & David A. Stephens & Arnaud Doucet & Theodoros Tsagaris, 2011. "Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 1-22, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
More about this item
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-06-04 (All new papers)
- NEP-DCM-2017-06-04 (Discrete Choice Models)
- NEP-ETS-2017-06-04 (Econometric Time Series)
- NEP-MAC-2017-06-04 (Macroeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:23448. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/nberrus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.