Copula Particle Filters

Carlos E. Rodríguez and Stephen G. Walker

Computational Statistics & Data Analysis, 2021, vol. 161, issue C

Abstract: A novel analysis of the state space model is presented. It is shown that by modifying the standard recursive update it is possible to apply a copula model to eliminate a particular integral, which is typically performed using importance sampling. With Bayesian models, copulas have recently been shown to provide predictive densities directly, avoiding integrals altogether. As in every particle filter algorithm particles are generated; hence the proposed algorithm is named the Copula Particle Filter (CPF). As a by-product, the likelihood function of the model is obtained and used for parameter inference. Several illustrations and comparisons made with the standard updating schemes are provided. Supplementary material for this article, containing code, are available online.

Keywords: State space model; Mixture of copulas; Gaussian copula (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000645

DOI: 10.1016/j.csda.2021.107230

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