Particle efficient importance sampling
Marcel Scharth, Robert Kohn
| Year of publication: |
January 2016
|
|---|---|
| Authors: | Scharth, Marcel ; Kohn, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 190.2016, 1, p. 133-147
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| Subject: | Bayesian inference | Particle filters | Particle marginal Metropolis-Hastings | Sequential Monte Carlo | Stochastic volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Stichprobenerhebung | Sampling | Bayes-Statistik | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.03.047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011591626