Online data processing: comparison of Bayesian regularized particle filters

DOI10.1214/08-EJS256zbMath1267.65008arXiv0806.4242WikidataQ60461491 ScholiaQ60461491MaRDI QIDQ1951975

Roberto Casarin, Jean-Michel Marin

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.4242

zbMATH Keywords

parameter estimationimportance samplingresamplingBayesian estimationstochastic volatility modelsonline data processingregularized particle filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Point estimation (62F10) Bayesian inference (62F15) Bootstrap, jackknife and other resampling methods (62F40)

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