Robust inference on parameters via particle filters and sandwich covariance matrices
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...
Huvudupphovsmän: | Shephard, N, Doucet, A |
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Materialtyp: | Working paper |
Publicerad: |
University of Oxford
2012
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