Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
type: Item
instance of: scholarly article
published in: Computational Statistics and Data Analysis
volume: 76
page(s): 408-423
publication date: 2014-08-01T00:00:00Z
publication date: 2018-11-23T00:00:00Z
author: Gregor Kastner
author: Sylvia Frühwirth-Schnatter
title: Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
zbMATH Open document ID: 1506.62094
full work available at URL: https://arxiv.org/abs/1706.05280
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C40
zbMATH DE Number: 6983987
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: non-centering
zbMATH Keywords: auxiliary mixture sampling
zbMATH Keywords: massively parallel computing
zbMATH Keywords: state space model
zbMATH Keywords: exchange rate data
describes a project that uses: R
describes a project that uses: Snow
describes a project that uses: snow
describes a project that uses: OpenMPI
describes a project that uses: RngStreams
describes a project that uses: CODA
describes a project that uses: RngSteam
describes a project that uses: stochvol
describes a project that uses: LAPACK
describes a project that uses: Rcpp
MaRDI profile type: Publication
OpenAlex ID: W2053974175
arXiv ID: 1706.05280
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DOI: 10.1016/J.CSDA.2013.01.002
description: scientific article