A Monte Carlo Markov chain algorithm for a class of mixture time series models (Q692950)
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scientific article; zbMATH DE number 6113560
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Monte Carlo Markov chain algorithm for a class of mixture time series models |
scientific article; zbMATH DE number 6113560 |
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A Monte Carlo Markov chain algorithm for a class of mixture time series models (English)
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6 December 2012
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Bayesian nonparametric
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Dirichlet process prior
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Poisson-Dirichlet process prior
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Bayesian Poisson calculus
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GARCH
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volatility estimation
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