Tempered particle filtering

Author:

Herbst Edward,Schorfheide Frank

Funder

National Science Foundation, United States

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference35 articles.

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2. Particle Markov chain Monte Carlo methods;Andrieu;J. R. Stat. Soc. Ser. B Stat. Methodol.,2010

3. A tutorial on particle filters for online nonlinear/non-gaussian bayesian tracking;Arulampalam;IEEE Trans. Signal Process.,2002

4. On the convergence of adaptive sequential Monte Carlo methods;Beskos,2014

5. A sequential Monte Carlo approach to inference in multiple-equation Markov-switching models;Bognanni;J. Appl. Econometrics,2018

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