Tempered particle filtering

DOI10.1016/j.jeconom.2018.11.003zbMath1452.62069OpenAlexW2513556803MaRDI QIDQ1740340

Edward Herbst, Frank Schorfheide

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w23448.pdf

zbMATH Keywords

Bayesian analysisMonte Carlo methodsnonlinear filteringDSGE models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Monte Carlo methods (65C05) Dynamic stochastic general equilibrium theory (91B51)

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Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models ⋮ Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective

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