Evolutionary Sequential Monte Carlo Samplers for Change-Point Models

Evolutionary Sequential Monte Carlo Samplers for Change-Point Models

Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain Monte-Carlo (MCMC) methods. Not only do SMC algor...

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Bibliographic Details
Main Author: Arnaud Dufays
Format: Article
Language:English
Published: MDPI AG 2016-03-01
Series:Econometrics
Subjects:
bayesian inference
sequential monte carlo
annealed importance sampling
change-point models
differential evolution
GARCH models
Online Access:http://www.mdpi.com/2225-1146/4/1/12

Internet

http://www.mdpi.com/2225-1146/4/1/12

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