A note on auxiliary particle filters
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- Maciej Augustyniak & Mathieu Boudreault & Manuel Morales, 2018. "Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 165-188, March.
- Crucinio, Francesca R. & Johansen, Adam M., 2023. "Properties of marginal sequential Monte Carlo methods," Statistics & Probability Letters, Elsevier, vol. 203(C).
- Elmar Mertens & James M. Nason, 2020.
"Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
- Elmar Mertens & James M Nason, 2015. "Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility," CAMA Working Papers 2015-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
- Elmar Mertens & James M. Nason, 2017. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," CAMA Working Papers 2017-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Axel Finke & Adam Johansen & Dario Spanò, 2014. "Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 577-609, June.
- Audronė Virbickaitė & Hedibert F. Lopes & M. Concepción Ausín & Pedro Galeano, 2019.
"Particle learning for Bayesian semi-parametric stochastic volatility model,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1007-1023, October.
- Audrone Virbickaite & Hedibert F. Lopes & Maria Concepción Ausín & Pedro Galeano, 2018. "Particle Learning for Bayesian Semi-Parametric Stochastic Volatility Model," DEA Working Papers 88, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Drew Creal, 2012.
"A Survey of Sequential Monte Carlo Methods for Economics and Finance,"
Econometric Reviews, Taylor & Francis Journals, vol. 31(3), pages 245-296.
- 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.
- Murray Pollock & Paul Fearnhead & Adam M. Johansen & Gareth O. Roberts, 2020. "Quasi‐stationary Monte Carlo and the ScaLE algorithm," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(5), pages 1167-1221, December.
- Yang, Yuan & Wang, Lu, 2015. "An Improved Auxiliary Particle Filter for Nonlinear Dynamic Equilibrium Models," Dynare Working Papers 47, CEPREMAP.
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