Robust inference on parameters via particle filters and sandwich covariance matrices

Robust inference on parameters via particle filters and sandwich covariance matrices

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Likelihood based estimation of the parameters of state space models can be carried out via a particle filter. In this paper we show how to make valid inference on such parameters when the model is incorrect. In particular we develop a simulation strategy for computing sandwich covariance matrices...

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Detalles Bibliográficos
Autores principales: Shephard, N, Doucet, A
Formato: Working paper
Publicado: University of Oxford 2012

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