Efficient learning via simulation: a marginalized resample-move approach
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Publication:2442455
DOI10.1016/j.jeconom.2013.05.002zbMath1284.62516OpenAlexW3121793849MaRDI QIDQ2442455
Publication date: 3 April 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.05.002
stochastic volatilityMarkov chain Monte Carlocredit riskstate-space modelsparticle filtersLévy jumpsparameter learningstate filteringresample-move
Point estimation (62F10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Financial applications of other theories (91G80)
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