Parameterisation and efficient MCMC estimation of non-Gaussian state space models (Q1023621)
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scientific article; zbMATH DE number 5564679
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parameterisation and efficient MCMC estimation of non-Gaussian state space models |
scientific article; zbMATH DE number 5564679 |
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Parameterisation and efficient MCMC estimation of non-Gaussian state space models (English)
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12 June 2009
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Bayesian estimation
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non-centred parameterisations
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inefficiency factor
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stochastic volatility model
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stochastic conditional duration model
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