Parameterisation and efficient MCMC estimation of non-Gaussian state space models

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 2911-2930

  Strickland, Chris M ^a,b   Martin, Gael M ^b   Forbes, Catherine S ^b  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b MONASH UNIVERSITY   (Australia)

Author keywords

Bayesian estimation; Inefficiency factor; Non centred parameterisations; Stochastic conditional duration model; Stochastic volatility model

Indexed keywords

BAYESIAN NETWORKS; COMPUTER SIMULATION; GAUSSIAN DISTRIBUTION; MARKOV PROCESSES; PARAMETERIZATION;

NON-CENTRED PARAMETERIZATIONS; STOCHASTIC CONDITIONAL DURATION (SCD); STOCHASTIC VOLATILITY (SV);

MONTE CARLO METHODS;

EID: 39049149494     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.10.010     Document Type: Article

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