BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
仅基于模拟似然的贝叶斯推断:动态经济模型的粒子滤波分析
We note that likelihood inference can be based on an unbiased simulation-based estimator of the likelihood when it is used inside a Metropolis–Hastings algorithm. This result has recently been introduced in statistics literature by Andrieu, Doucet, and Holenstein (2010, Journal of the Royal Statistical Society, Series B , 72, 269–342) and is perhaps surprising given the results on maximum simulated likelihood estimation. Bayesian inference based on simulated likelihood can…