Data-driven particle Filters for particle Markov Chain Monte Carlo
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More about this item
Keywords
Bayesian inference; non-Gaussian time series; state space models; unbiased likelihood estimation; sequential Monte Carlo;All these keywords.
JEL classification:
- 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-10-09 (Econometrics)
- NEP-ETS-2016-10-09 (Econometric Time Series)
- NEP-ORE-2016-10-09 (Operations Research)
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