Search Results - subject:"sequential monte carlo"

Inference in Epidemic Models without Likelihoods

McKinley, Trevelyan; Cook, Alex; Deardon, Robert - In: International Journal of Biostatistics 5 (2009) 1, pp. 1171-1171

further complicates this process. Here we investigate the performance of Markov Chain Monte Carlo and Sequential Monte Carlo …

Persistent link: https://www.econbiz.de/10005046659

A survey of sequential Monte Carlo methods for economics and finance

Creal, D. - VU University Amsterdam, Faculty of Economics, Business … - 2009

This paper serves as an introduction and survey for economists to the field of sequential Monte Carlo methods which are … also known as particle filters. Sequential Monte Carlo methods are simulation based algorithms used to compute the high …

Persistent link: https://www.econbiz.de/10008629978

Pooling and Dynamic Forgetting Effects in Multitheme Advertising: Tracking the Advertising Sales Relationship with Particle Filters

Bruce, Norris I. - In: Marketing Science 27 (2008) 4, pp. 659-673

sequential Monte Carlo (SMC) methods designed to estimate nonlinear/nonnormal state space models. Results show that forgetting …

Persistent link: https://www.econbiz.de/10008787687

Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Amisano, Giovanni; Tristani, Oreste - C.E.P.R. Discussion Papers - 2007

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...

Persistent link: https://www.econbiz.de/10005067383

Dynamic Detection of Change Points in Long Time Series

Chopin, Nicolas - In: Annals of the Institute of Statistical Mathematics 59 (2007) 2, pp. 349-366

Persistent link: https://www.econbiz.de/10005616195

Simulation-based finite-sample linearity test against smooth transition models

González, Andrés; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005

In this paper we use Monte Carlo testing techniques for testing linearity against the smooth transition models. The Monte Carlo approach allows us to introduce a new test that differs from the tests existing in the literature in two respects. First, the test is exact in the sense that the...

Persistent link: https://www.econbiz.de/10005423889

Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F. - Department of Economics, University of Pennsylvania - 2004

develop a Sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using simulation …

Persistent link: https://www.econbiz.de/10005150187

Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F. - Department of Economics, University of Pennsylvania - 2004

Sequential Monte Carlo filter proposed by Fernández-Villaverde and Rubio-Ramírez (2004) and the Kalman filter. The Sequential … results. First, both for simulated and for real data, the Sequential Monte Carlo filter delivers a substantially better fit of … Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by …

Persistent link: https://www.econbiz.de/10005150229

Nonparametric adaptive detection in fading channels based on sequential Monte Carlo and Bayesian model averaging

Guo, Dong; Wang, Xiaodong; Chen, Rong - In: Annals of the Institute of Statistical Mathematics 55 (2003) 2, pp. 423-436

Persistent link: https://www.econbiz.de/10005395665

Parameter estimation in general state-space models using particle methods

Doucet, Arnaud; Tadić, Vladislav - In: Annals of the Institute of Statistical Mathematics 55 (2003) 2, pp. 409-422

Persistent link: https://www.econbiz.de/10005616283