Sequential Monte Carlo smoothing with parameter estimation

DOI10.1214/17-BA1088zbMath1407.62343arXiv1604.05658MaRDI QIDQ1631601

Gabriel Huerta, Biao Yang, Jonathan R. Stroud

Publication date: 6 December 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.05658

zbMATH Keywords

parameter estimationstochastic volatilitystate-space modelssequentialparticle filteringparticle learningBayesian smoothingparticle smoothing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Sequential estimation (62L12)

Related Items (3)

Sequential Monte Carlo smoothing with parameter estimation ⋮ Efficient data augmentation techniques for some classes of state space models ⋮ Dynamic quantile linear models: a Bayesian approach

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