Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form

Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form

Pokaż inne wersje (2)

In this paper we model the Gaussian errors in the standard Gaussian linear state space model as stochastic volatility processes. We show that conventional MCMC algorithms for this class of models are ineffective, but that the problem can be alleviated by reparameterizing the model. Instead of sampli...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy:	Bos, C, Shephard, N
Format:	Journal article
Język:	English
Wydane:	Taylor and Francis 2006
Hasła przedmiotowe:	Econometrics Economics

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