The scan sampler for time series models

Biometrika

Volumn 84, Issue 4, 1997, Pages 929-937

  De Jong, Piet ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Exponential family; Generalised linear time series; Gibbs sampling; Kaiman filter; Markov chain monte carlo; Nonparametric regression; Smoothing filter; State space model; Stochastic volatility; Tobit models

Indexed keywords

EID: 0011628998     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/84.4.929     Document Type: Article

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