Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox

DOI10.1515/jtse-2013-0024zbMath1417.60066OpenAlexW3123678046MaRDI QIDQ1695672

Nima Nonejad

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/55662/1/MPRA_paper_55662.pdf

zbMATH Keywords

Bayesparticle filterGibbsMetropolis-Hastingsunobserved components

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Uses Software

• Ox

Cites Work

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