A Monte Carlo Markov chain algorithm for a class of mixture time series models

DOI10.1007/s11222-009-9147-6zbMath1274.62603OpenAlexW2083445541MaRDI QIDQ692950

John W. Lau, Mike K. P. So

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-009-9147-6

zbMATH Keywords

GARCHDirichlet process priorBayesian nonparametricvolatility estimationBayesian Poisson calculusPoisson-Dirichlet process prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

A conjugate class of random probability measures based on tilting and with its posterior analysis ⋮ Bayesian non-parametric mixtures of GARCH(1,1) models

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