Using random quasi-Monte-Carlo within particle filters, with application to financial time series

Fearnhead, Paul . Journal of Computational and Graphical Statistics 2005. 14 (4) :751-769

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Bibtex

@article{CIS-198405,
  Author = {Fearnhead, Paul},
  Title = {Using random quasi-Monte-Carlo within particle filters, with application to financial time series},
  Journal = {Journal of Computational and Graphical Statistics},
  Volume = {14},
  Number = {4},
  Year = {2005},
  Pages = {751--769},
  Keywords = {Filtering, Rate of convergence, Smoothing, Sequential Monte Carlo, ARCH, Stochastic volatility}
}

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