Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling

Journal of Statistical Computation and Simulation

Volumn 81, Issue 11, 2011, Pages 1361-1379

  Neddermeyer, Jan C ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

General state space model; High frequency; Multivariate frequency polygon; Multivariate stochastic volatility; Nonparametric density estimation; Sequential monte carlo

Indexed keywords

EID: 84855726954     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949655.2010.485315     Document Type: Article

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