On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- 1 December 2012
- journal article
- Published by Elsevier BV in Journal of Econometrics
- Vol. 171 (2), 134-151
- https://doi.org/10.1016/j.jeconom.2012.06.004
Abstract
No abstract availableKeywords
Funding Information
- ARC Discovery (DP0988579)
This publication has 27 references indexed in Scilit:
- Particle Learning and SmoothingStatistical Science, 2010
- The pseudo-marginal approach for efficient Monte Carlo computationsThe Annals of Statistics, 2009
- Examples of Adaptive MCMCJournal of Computational and Graphical Statistics, 2009
- Sequential Monte Carlo SamplersJournal of the Royal Statistical Society Series B: Statistical Methodology, 2006
- Likelihood-Based Estimation of Latent Generalized ARCH StructuresEconometrica, 2004
- Filtering via Simulation: Auxiliary Particle FiltersJournal of the American Statistical Association, 1999
- Geometric convergence and central limit theorems for multidimensional Hastings and Metropolis algorithmsBiometrika, 1996
- Novel approach to nonlinear/non-Gaussian Bayesian state estimationIEE Proceedings F Radar and Signal Processing, 1993
- Adaptive Mixtures of Local ExpertsNeural Computation, 1991
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business CycleEconometrica, 1989