Filtering via Simulation: Auxiliary Particle Filters
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/01621459.1999.10474153
Reference36 articles.
1. Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
2. Chapter 49 Arch models
3. On Gibbs sampling for state space models
4. The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
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