A closed-form filter for binary time series

DOI10.1007/s11222-021-10022-wzbMath1475.62030arXiv1902.06994OpenAlexW3173070367MaRDI QIDQ2058780

Daniele Durante, Augusto Fasano, Giovanni Rebaudo, Sonia Petrone

Publication date: 9 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06994

zbMATH Keywords

Kalman filterstate-space modelparticle filterdynamic probit modelSUN

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Scalable Computation of Predictive Probabilities in Probit Models with Gaussian Process Priors ⋮ Bayesian Conjugacy in Probit, Tobit, Multinomial Probit and Extensions: A Review and New Results ⋮ A flexible two-piece normal dynamic linear model ⋮ A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior ⋮ Unnamed Item ⋮ An overview on the progeny of the skew-normal family -- a personal perspective

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