Particle filtering approximations for a Gaussian-generalized inverse Gaussian model

Statistics and Probability Letters

Volumn 79, Issue 4, 2009, Pages 442-449

  Ferrante, Marco ^a   Frigo, Nadia ^a  

^a UNIVERSITY OF PADOVA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 58549101865     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2008.09.017     Document Type: Article

References (15)

1. Andrieu C., Davy M., and Doucet A. Efficient particle filtering for jump Markov systems. Application to time-varying autoregressions. IEEE Trans. Signal Process. 51 (2003) 1762-1770
2. Barndorff-Nielsen O.E., and Blæsild P. Hyperbolic distributions and ramifications: Contributions to theory and application. Statistical Distributions in Scientific Work vol. 4 (1980) 19-44
3. Barndorff-Nielsen O.E. Processes of normal inverse Gaussian type. Finance Stoch. 2 (1998) 41-68
4. Casella G., and Robert C.P. Rao-Blackwellisation of sampling schemes. Biometrika 83 (1996) 81-94
5. Crisan, D., Doucet, A., 2000. Convergence of sequential Monte Carlo methods. Technical Report
6. Doucet A., de Freitas N., and Gordon N. Sequential Monte Carlo Methods in Practice (2001), Springer-Verlag, New York
7. Doucet, A., de Freitas, N., Murphy, K., Russel, S., 2000. Rao-Blackwellised particle filtering for dynamic Bayesian networks. In: Proceedings of the Sixteenth Conference on Uncertainty in Artificial Intelligence. Stanford, 2000, pp. 176-183
8. Ferrante M., and Vidoni P. Finite-dimensional filters for nonlinear stochastic difference equations with multiplicative noises. Stochastic Process. Appl. 77 (1998) 69-81
9. Ferrante M., and Vidoni P. A Gaussian-generalized inverse Gaussian finite-dimensional filter. Stochastic Process. Appl. 1 (1999) 165-176
10. Genon-Catalot V. A non-linear explicit filter. Statist. Probab. Lett. 61 (2003) 145-154
11. Jørgensen B. Statistical properties of the generalized inverse Gaussian distribution. Lecture Notes in Statistics vol. 9 (1982), Springer-Verlag, New York
12. Runggaldier W.J., and Spizzichino F. Sufficient conditions for finite dimensionality of filters in discrete time: A Laplace transform-based approach. Bernoulli 7 (2001) 211-221
13. Shephard N. Local scale models: State space alternative to integrated GARCH processes. J. Econometrics 60 (1994) 181-202
14. Smith R.L., and Miller J.E. A non-Gaussian state space model and application to prediction of records. J. Roy. Statist. Soc. Ser. B 48 (1986) 79-88
15. Vidoni P. Exponential family state space models based on a conjugate latent process. J. Roy. Statist. Soc. Ser. B 61 (1999) 213-221