کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098762 | 1376957 | 2011 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Non-linear DSGE models and the optimized central difference particle filter
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Non-linear DSGE models and the optimized central difference particle filter Non-linear DSGE models and the optimized central difference particle filter](/preview/png/5098762.png)
چکیده انگلیسی
We improve the accuracy and speed of particle filtering for non-linear DSGE models with potentially non-normal shocks. This is done by introducing a new proposal distribution which (i) incorporates information from new observables and (ii) has a small optimization step that minimizes the distance to the optimal proposal distribution. A particle filter with this proposal distribution is shown to deliver a high level of accuracy even with relatively few particles, and it is therefore much more efficient than the standard particle filter.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 10, October 2011, Pages 1671-1695
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 10, October 2011, Pages 1671-1695
نویسندگان
Martin M. Andreasen,