Residual and stratified branching particle filters

DOI10.1016/j.csda.2017.02.003zbMath1464.62107OpenAlexW2589491631MaRDI QIDQ1654240

Michael A. Kouritzin

Publication date: 7 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2017.02.003

zbMATH Keywords

branching processBayesian model selectionparticle filter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Filtering in stochastic control theory (93E11)

Related Items

VIX-linked fees for GMWBs via explicit solution simulation methods, Convergence rates for residual branching particle filters, BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES

Uses Software

• chopthin

Cites Work

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