A Survey of Sequential Monte Carlo Methods for Economics and Finance

Report of the Editors—2009

(2010) G. Casella et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Limit theorems for weighted samples with applications to sequential Monte Carlo methods

(2008) Randal Douc et al.   ANNALS OF STATISTICS

Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models

(2008) Jimmy Olsson et al.   BERNOULLI

Testing the assumptions behind importance sampling

(2008) Siem Jan Koopman et al.   JOURNAL OF ECONOMETRICS

Adaptive importance sampling in general mixture classes

(2008) Olivier Cappé et al.   STATISTICS AND COMPUTING

Forgetting the initial distribution for Hidden Markov Models

(2008) R. Douc et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Interacting sequential Monte Carlo samplers for trans-dimensional simulation

(2007) Ajay Jasra et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Asymptotic properties of particle filter-based maximum likelihood estimators for state space models

(2007) Jimmy Olsson et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS