Partial non-Gaussian time series models
In this paper we suggest the use of simulation techniques to extend the applicability of the usual Gaussian state space filtering and smoothing techniques to a class of non-Gaussian time series models. This allows a fully Bayesian or maximum likelihood analysis of some interesting models, including...
Main Author: | Shephard, N |
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Format: | Journal article |
Language: | English |
Published: |
Biometrika Trust
1994
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