Bayesian analysis of the stochastic conditional duration model
type: Item
instance of: scholarly article
title: Bayesian analysis of the stochastic conditional duration model
zbMATH Open document ID: 1445.62241
author: Chris M. Strickland
author: Catherine S. Forbes
author: Gael M. Martin
published in: Computational Statistics and Data Analysis
publication date: 2008-12-11T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5381677
zbMATH Keywords: transaction data
zbMATH Keywords: latent variable model
zbMATH Keywords: non-Gaussian state space model
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: Kalman filter and simulation smoother
describes a project that uses: BUGS
MaRDI profile type: Publication
full work available at URL: j.csda.2005.07.005
OpenAlex ID: W2139918108
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DOI: 10.1016/J.CSDA.2005.07.005
description: scientific article; zbMATH DE number 5381677