Sequential Bayesian inference for vector autoregressions with stochastic volatility (Q2181522)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sequential Bayesian inference for vector autoregressions with stochastic volatility |
scientific article |
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Sequential Bayesian inference for vector autoregressions with stochastic volatility (English)
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19 May 2020
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vector autoregressions
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stochastic volatility
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sequential Monte Carlo
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particle filter
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Rao-Blackwellization
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