Template-type: ReDIF-Paper 1.0
Author-Name: Arnaud Doucet
Author-Email: doucet@stats.ox.ac.uk
Author-Workplace-Name: Department of Statistics and Oxford-Man Institute, University of Oxford
Author-Name: Neil Shephard
Author-Email: neil.shephard@economics.ox.ac.uk
Author-Workplace-Name: Nuffield College, Dept of Economics and Oxford-Man Institute of Quantitative Finance, University of Oxford.
Title: Robust inference on parameters via particle filters and sandwich covariance matrices
Abstract: Likelihood based estimation of the parameters of state space models can be carried out via
a particle filter. In this paper we show how to make valid inference on such parameters when
the model is incorrect. In particular we develop a simulation strategy for computing sandwich
covariance matrices which can be used for asymptotic likelihood based inference. These methods
are illustrated on some simulated data.
Keywords: quasi-likelihood; particle filter; sandwich matrix; sequential Monte Carlo.
Classification-JEL: C11, C15, C53, C58.
Length: 23 pages
Creation-Date: 2012-06-01
Number: 2012-W05
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2012/doucet120601.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1205