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Joint Econometrics and Industrial Organization Workshop: Benjamin Connault

Tuesday, November 14, 2017 at 11:40am to 1:10pm

Uris Hall, 498
Central Campus

Benjamin Connault
University of Pennsylvania

Kernel Filtering

Abstract:  The paper describes a new approximate nonlinear filtering technique. Strengths of the technique include: (1) it can be used as long as one can simulate from the model, without the need to evaluate transition densities, (2) it can be used with some infinite-dimensional state variables, and (3) computational speed thanks to the embarrassingly parallel nature of its computationally intensive part. The main theoretical result of the paper is that the approximation error of the technique goes to zero with computational power, and that it does so uniformly with respect to the time horizon of the data.

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Event Type

Class/ Workshop




EconMetrics, EconIO, economics, EconSeminar



Contact E-Mail

Contact Name

Amy Moesch

Contact Phone



Benjamin Connault

Speaker Affiliation

University of Pennsylvania

Open To

Cornell Economics Community (List Serve Members)