This file contains Matlab code that replicates some of the results in the paper ``A survey of sequential Monte Carlo methods for economics and finance,'' which is forthcoming in Econometric Reviews.
The code is free for academic and educational use.
The code contains MEX written in C that implement three different types of resampling algorithms: systematic resampling (Carpenter Clifford Fearnhead), stratified resampling (Kitagawa), and multinomial resampling. These algorithms can be used in future work to speed up a particle filter. The .mexw64 files were compiled for a 64 bit computer and will not run on 32 bit machines. Instead, you can use the resampling algorithms that have been coded in Matlab.