Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling
DOI10.1080/00949655.2010.485315zbMath1283.62195OpenAlexW2170026607MaRDI QIDQ5300740
Publication date: 28 June 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2010.485315
sequential Monte Carlononparametric density estimationmultivariate stochastic volatilityhigh frequencymultivariate frequency polygongeneral state-space model
Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)
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Cites Work
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