A Bayesian Analysis of Unobserved Component Models Using Ox

A Bayesian Analysis of Unobserved Component Models Using Ox

This article details a Bayesian analysis of the Nile river flow data, using a similar state space model as other articles in this volume. For this data set, Metropolis-Hastings and Gibbs sampling algorithms are implemented in the programming language Ox. These Markov chain Monte Carlo methods only p...

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Bibliographic Details
Main Author: Charles S. Bos
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2011-05-01
Series:Journal of Statistical Software
Subjects:
state space methods
unobserved components
Bayes
stochastic volatility
Online Access:http://www.jstatsoft.org/v41/i13/paper

Internet

http://www.jstatsoft.org/v41/i13/paper

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