Tempered Particle Filtering
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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.).
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"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.
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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)
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