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This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability …
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This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...
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