2014
DOI: 10.1093/jjfinec/nbu019
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Accurate Methods for Approximate Bayesian Computation Filtering

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Cited by 45 publications
(45 citation statements)
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“…It has since then been introduced to econometrics by, amongst others, Creel and Kristensen (2013) who referred to ABC estimators as indirect likelihood estimators. However, very little work has been done on the application of ABC in the estimation of dynamic models; some recent work in this direction include Calvet and Czellar (2012) and Dean, Singh, Jasra and Peters (2011). We complement these papers by showing how the ideas of ABC can be employed in the estimation and filtering of continuous-time models.…”
Section: Introductionmentioning
confidence: 99%
“…It has since then been introduced to econometrics by, amongst others, Creel and Kristensen (2013) who referred to ABC estimators as indirect likelihood estimators. However, very little work has been done on the application of ABC in the estimation of dynamic models; some recent work in this direction include Calvet and Czellar (2012) and Dean, Singh, Jasra and Peters (2011). We complement these papers by showing how the ideas of ABC can be employed in the estimation and filtering of continuous-time models.…”
Section: Introductionmentioning
confidence: 99%
“…Naturally, the resulting kernel is not equivalent to the true observation-generating model, but the asymptotic convergence of the filter is assured by the preservation of a high proportion of admissible state particles. Unlike in the work of Calvet and Czellar, 25 the existence of the first 2 moments is not necessary. The only requirement is that the kernel has the location and scale parameters, and it is symmetric.…”
Section: Adaptive Multivariate Kernelsmentioning
confidence: 96%
“…To remedy this situation, the ABC filters 20,21,25,30 provide the point-mass approximation (21) of the target density π(ξ 1:k |y 1:k ) using a different strategy. The Monte Carlo samples ξ (i) k , i = 1, … , I drawn from the state space are directly plugged into the observation model (19).…”
Section: Approximate Filteringmentioning
confidence: 99%
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