A survey of sequential Monte Carlo methods for economics and finance
Year of publication: |
2009
|
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Authors: | Creal, D. |
Institutions: | Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit |
Subject: | state space models | sequential Monte Carlo | particle filter | Markov chain Monte Carlo | Kalman filter |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Serie Research Memoranda / Vrije Universiteit Amsterdam. Faculteit der Economische Wetenschappen en Econometrie Number 0018 |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models |
Source: |
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A survey of sequential Monte Carlo methods for economics and finance
Creal, D., (2009)
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Shephard, Neil, (2008)
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Flury, Thomas, (2008)
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A survey of sequential Monte Carlo methods for economics and finance
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Stigter, A. I., (1997)
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User information satisfaction: een gebruikersperspectief op het succes van informatiesystemen
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