Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form.
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algoritms for this type of model are ineffective, but that this problem can be removed by reparameteris...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2004
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