This paper serves as an introduction and survey for economists to the field of sequential Monte Carlo methods which are also known as particle filters. Sequential Monte Carlo methods are simulation based algorithms used to compute the high-dimensional and/or complex integrals that arise...

This paper serves as an introduction and survey for economists to the field of sequential Monte Carlo methods which are also known as particle filters. Sequential Monte Carlo methods are simulation based algorithms used to compute the high-dimensional and/or complex integrals that arise...