研究论文
A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
T. Watanabe
Tokyo Metropolitan University
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摘要与影响
摘要 · 完整
This note points out a problem in the multi‐move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation.
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学术脉络
学科主题
计算机 / AIMarkov Chains and Monte Carlo Methods
Financial Risk and Volatility Modeling · Statistical Methods and Bayesian Inference
参考文献 5
Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion
被引 73Neil Shephard, M. Pitt · RePEc: Research Papers in Economics · 1998
The simulation smoother for time series models
被引 579Piet de Jong, Neil Shephard · Biometrika · 1995
Likelihood analysis of non-Gaussian measurement time series
被引 694Neil Shephard · Biometrika · 1997
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被引 175Ikram Jebabli, Mohamed El Hédi Arouri, Frédèric Teulon · Energy Economics · 2014
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