Robust inference on parameters via particle filters and sandwich covariance matrices

Arnaud Doucet () and Neil Shephard ()
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Arnaud Doucet: Department of Statistics and Oxford-Man Institute, University of Oxford

No 2012-W05, Economics Papers from Economics Group, Nuffield College, University of Oxford

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. (search for similar items in EconPapers)
JEL-codes: C11 C15 C53 C58 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2012-06-01
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Working Paper: Robust inference on parameters via particle filters and sandwich covariance matrices (2012)
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