Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
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Publication:1757658
DOI10.1214/18-BA1099zbMath1409.62184OpenAlexW2794527365MaRDI QIDQ1757658
Michele Guindani, Emilian R. Vankov, Katherine Bennett Ensor
Publication date: 15 January 2019
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ba/1522202635
approximate Bayesian computationparticle Markov chain Monte Carlostable distributionauxiliary particle filter
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15)
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