Parameterisation and efficient MCMC estimation of non-Gaussian state space models : Statistical and computational methods in France

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Bibliographic Details
Published inComputational statistics & data analysis Vol. 52; no. 6; pp. 2911 - 2930
Main Authors STRICKLAND, Chris M, MARTIN, Gael M, FORBES, Catherine S
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier Science 2008
Subjects
Exact sciences and technology
General topics
Markov processes
Mathematics
Multivariate analysis
Numerical analysis
Numerical analysis. Scientific computation
Numerical methods in probability and statistics
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Statistics
Stochastic model
Conditional distribution
Statistical distribution
State space
Stochastic method
Markov chain
Stochastic volatility
Approximation theory
State estimation
Exchange rate
Inefficiency factor
Bayes estimation
Monte Carlo method
Data analysis
Bayesian estimation
Stochastic volatility model
State space method
Algorithm
Stochastic conditional duration model
Numerical analysis
Statistical computation
Simulation
Sampler
Non-centred parameterisations
Duration model
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ISSN0167-9473

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ISSN:0167-9473