Tempered particle filtering

Herbst, E; Schorfheide, F

Herbst, E (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA.; Schorfheide, F (reprint author), Univ Penn, Ronald O Perelman Ctr, Dept Econ, 133 South 36th St, Philadelphia, PA 19104 USA.

JOURNAL OF ECONOMETRICS, 2019; 210 (1): 26

Abstract

The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t - 1 particle valu......

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