Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models - Kastner, Gregor; Frühwirth-Schnatter, Sylvia (Computational statistics & data analysis, 2014)
Keywords: Auxiliary mixture sampling; Bayesian theory; equations; Exchange rate data; Inference; Markov chain Monte Carlo; Massively parallel computing; Mathematical models; Non-centering; Parametrization; Sampling; State space model; Statistics; Stochasticity; Strategy; Volatility; State space model; Exchange rate data; Auxiliary mixture sampling; Markov chain Monte Carlo; Massively parallel computing; Non-centering