Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
type: Item
instance of: scholarly article
title: Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
zbMATH Open document ID: 1065.91533
author: Renate Meyer
author: David A. Fournier
author: Andreas Berg
publication date: 2004-03-17T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 2060130
zbMATH Keywords: Markov chain Monte Carlo (MCMC) techniques
zbMATH Keywords: heavy tailed distributions
zbMATH Keywords: non-Gaussian nonlinear state-space models
describes a project that uses: Fahrmeir
describes a project that uses: BUGS
MaRDI profile type: Publication
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DOI: 10.1111/1368-423X.T01-1-00116
published in: Econometrics Journal
description: scientific article; zbMATH DE number 2060130