Particle_Filtering:Matlab粒子滤波和平滑示例代码

上传者: 42134097 | 上传时间: 2022-12-19 11:13:16 | 文件大小: 64KB | 文件类型: ZIP
粒子过滤和平滑示例代码 这些示例代码说明了本杰明·伯恩(Benjamin Born / Johannes Pfeifer)(2014):“政策风险与商业周期”,货币经济学杂志,第68页,第68-85页中使用的方法。 可以根据您的需要随意修改和修改代码,但请公平对待并确认出处。 我们自己从Andreasen,Martin M.(2011)的粒子过滤器实现中受益:“非线性DSGE模型和优化的中心差分粒子过滤器”,《经济动力与控制》,35(10),第1671-页1695 可以使用以下文件: 模拟AR1-随机波动过程 使用自举(SIR)粒子滤波器在AR1随机波动率模型上运行Metropolis-Hastings算法以评估可能性 Run Doucet等。 al。 粒子平滑剂 怎么跑 要运行的主要文件是:run_filter_and_smoother_AR1.m 参考: 粒子滤波器遵循Arula

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