Nonlinear state-space models with state-dependent variances

Journal of the American Statistical Association

Volumn 98, Issue 462, 2003, Pages 377-386

  Stroud, Jonathan R ^a   Müller, Peter ^b   Polson, Nicholas G ^c  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF TEXAS MD ANDERSON CANCER CENTER   (United States)

^c UNIVERSITY OF CHICAGO   (United States)

Author keywords

Affine term structure model; Markov chain Monte Carlo; Mixture model; Nonlinear state space model; Smoothing; State dependent variance; Stochastic volatility

Indexed keywords

EID: 0042744718     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214503000161     Document Type: Article

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