"Practical Filtering" for On-line Bayesian State and Parameter Estimation.
- Practical Filtering with Sequential Parameter Learning.
Polson, N. G., Stroud, J. R. and Müller, P. (2008).
Journal of the Royal Statistical Society, Series B, 70, 413-428.
- Practical Filtering for Stochastic Volatility Models.
Stroud, J. R., Polson, N. G. and Müller, P. (2004).
State Space and Unobserved Components Models (Harvey et al., eds.),
Cambridge University Press, 236-247.
- C programs for these papers are available here.
Bayesian Estimation of the Heston Volatility Model using Returns and Options Data.