Robust inference on parameters via particle filters and sandwich covariance matrices.
N Shephard, A Doucet - 2012 - ora.ox.ac.uk
… The second is simulation based inference on non-linear and non-Gaussian state space models using sequential Monte Carlo or particle filters. Early contributions to this include, for …
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… The second is simulation based inference on non-linear and non-Gaussian state space models using sequential Monte Carlo or particle filters. Early contributions to this include, for …