Bayesian analysis of the stochastic conditional duration model (Q959312)
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scientific article; zbMATH DE number 5381677
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian analysis of the stochastic conditional duration model |
scientific article; zbMATH DE number 5381677 |
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Bayesian analysis of the stochastic conditional duration model (English)
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11 December 2008
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transaction data
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latent variable model
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non-Gaussian state space model
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Markov chain Monte Carlo
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Kalman filter and simulation smoother
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