On some properties of Markov chain Monte Carlo simulation methods based on the particle filter

DOI10.1016/j.jeconom.2012.06.004zbMath1443.62499OpenAlexW2031294093MaRDI QIDQ528088

Ralph dos Santos Silva, Michael K. Pitt, Robert Kohn, Paolo E. Giordani

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001510

zbMATH Keywords

Bayesian inference auxiliary variables simulated likelihood adapted filtering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Monte Carlo methods (65C05)

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