The DOI matches its Crossref record; 135 of the 135 references it cites were found in a registry or an index.
A Survey of Sequential Monte Carlo Methods for Economics and Finance
Open accessAbstract
This article serves as an introduction and survey for economists to the field of sequential Monte Carlo methods which are also known as particle filters. Sequential Monte Carlo methods are simulation-based algorithms used to compute the high-dimensional and/or complex integrals that arise regularly in applied work. These methods are becoming increasingly popular in economics and finance; from dynamic stochastic general equilibrium models in macro-economics to option pricing. The objective of this article is to explain the basics of the methodology, provide references to the literature, and cover some of the theoretical results that justify the methods in practice.
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Citations
Cites
A New Approach to Linear Filtering and Prediction Problems
Kalman, R. E. (1960) · Journal of Basic Engineering · doi:10.1115/1.3662552 · Cited by 31,751
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
Novel approach to nonlinear/non-Gaussian Bayesian state estimation
Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993) · IEE Proceedings F Radar and Signal Processing · doi:10.1049/ip-f-2.1993.0015 · Cited by 7,550
Sequential Monte Carlo Methods in Practice
(2001) · Springer eBooks · doi:10.1007/978-1-4757-3437-9 · Cited by 7,366
Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
Viterbi, A. (1967) · IEEE Transactions on Information Theory · doi:10.1109/tit.1967.1054010 · Cited by 6,759
New Results in Linear Filtering and Prediction Theory
Kalman, R. E., & Bucy, R. S. (1961) · Journal of Basic Engineering · doi:10.1115/1.3658902 · Cited by 6,387
Monte Carlo Statistical Methods
Kim, H. (2000) · Technometrics · doi:10.1080/00401706.2000.10485722 · Cited by 5,508
Nonequilibrium Equality for Free Energy Differences
Jarzynski, C. (1997) · Physical Review Letters · doi:10.1103/physrevlett.78.2690 · Cited by 5,293
Forecasting, Structural Time Series Models and the Kalman Filter
Fildes, R., Harvey, A. C., West, M., & Harrison, J. (1991) · The Journal of the Operational Research Society · doi:10.2307/2583225 · Cited by 4,682
Whitley, D. (1994) · Statistics and Computing · doi:10.1007/bf00175354 · Cited by 4,522
Metadata
- Authors
- Creal, D.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 2011-11-28
- Volume
- 31
- Issue
- 3
- Pages
- 245-296
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W1999674105
- Cited by
- 301
- References
- 135
- FWCI
- 18.36
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
