Efficient learning via simulation: A marginalized resample-move approach

Journal of Econometrics

Volumn 176, Issue 2, 2013, Pages 146-161

  Fulop, Andras ^a   Li, Junye ^a  

^a ESSEC BUSINESS SCHOOL   (France)

Author keywords

Credit risk; L vy jumps; Markov chain Monte Carlo; Parameter learning; Particle filters; Resample move; State filtering; State space models; Stochastic volatility

Indexed keywords

DISTRIBUTED COMPUTER SYSTEMS; ECONOMIC ANALYSIS; MONTE CARLO METHODS; RISK ASSESSMENT; SIGNAL FILTERING AND PREDICTION; TARGET TRACKING;

CREDIT RISKS; MARKOV CHAIN MONTE-CARLO; PARAMETER LEARNING; PARTICLE FILTER; RESAMPLE-MOVE; STATE FILTERING; STATE-SPACE MODELS; STOCHASTIC VOLATILITY;

COMPUTER SIMULATION;

EID: 84880329304     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.05.002     Document Type: Article

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