Filtering and estimation for a class of stochastic volatility models with intractable likelihoods

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

zbMATH Keywords

approximate Bayesian computationparticle Markov chain Monte Carlostable distributionauxiliary particle filter

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15)

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Uses Software

• STABLE

Cites Work

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