Copula particle filters

DOI10.1016/j.csda.2021.107230OpenAlexW3143341451MaRDI QIDQ2242018

Carlos E. Rodríguez, Stephen G. Walker

Publication date: 9 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.csda.2021.107230

zbMATH Keywords

state space modelGaussian copulamixture of copulas

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• R
• quantmod
• BRENT
• nimble

Cites Work

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• On particle methods for parameter estimation in state-space models
• State-space models. Applications in economics and finance
• An introduction to copulas.
• Partial correlation with copula modeling
• Dynamic Bayesian beta models
• Stochastic processes and filtering theory
• Sequential Monte Carlo Methods in Practice
• Gaussian filters for nonlinear filtering problems
• Filtering via Simulation: Auxiliary Particle Filters
• On Recursive Bayesian Predictive Distributions
• A Numerical-Integration Perspective on Gaussian Filters
• Searching for efficient Markov chain Monte Carlo proposal kernels