We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm introduced by Liu (2001), termed SMC sampler PRC, and show that this variant can be considered under the same framework of the sequential Monte Carlo sampler of Del Moral et al. (2006). We make...

We estimate a generalized version of the Long-Run Risk model in a panel of developed and developing countries using consumption, dividend growth, and asset returns data by utilizing the particle filter, while allowing for measurement errors in consumption data at quarterly and annual...

The computing time for Markov Chain Monte Carlo (MCMC) algorithms can be prohibitively large for datasets with many observations, especially when the data density for each observation is costly to evaluate. We propose a framework where the likelihood function is estimated from a random subset of...