27 citations · 27 across the 1 of their papers we have counts for
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stat.ME2012★ 1 cited
Bayesian inference for nonlinear structural time series models
Jamie Hall, Michael K. Pitt, Robert Kohn
This article discusses a partially adapted particle filter for estimating the likelihood of a nonlinear structural econometric state space models whose state transition density can…
stat.ME2010★ 27 cited
Auxiliary Particle filtering within adaptive Metropolis-Hastings Sampling
Michael Pitt, Ralph Silva, Paolo Giordani +1
Our article deals with Bayesian inference for a general state space model with the simulated likelihood computed by the particle filter. We show empirically that the partially or f…