Using random quasi-Monte-Carlo within particle filters, with application to financial time series

Journal of Computational and Graphical Statistics

Volumn 14, Issue 4, 2005, Pages 751-769

  Fearnhead, Paul ^a  

^a LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

ARCH; Filtering; Rate of convergence; Sequential Monte Carlo; Smoothing; Stochastic volatility

Indexed keywords

EID: 29544444487     PISSN: 10618600     EISSN: None     Source Type: Journal    
DOI: 10.1198/106186005X77243     Document Type: Article

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