Factor estimation using MCMC-based Kalman filter methods

Computational Statistics and Data Analysis

Volumn 53, Issue 2, 2008, Pages 344-353

  Tsiaplias, Sarantis ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL THEORY; KALMAN FILTERS;

BAYESIAN; CONDITIONAL DENSITIES; DRAWING PROCEDURES; EQUITY MARKETS; EUROPEANS; FILTER METHODS; GIBBS SAMPLERS; LIKELIHOOD FUNCTIONS; MARKOV SWITCHING; MARKOVIAN; PERSISTENT FACTORS;

WAVE FILTERS;

EID: 55549143980     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2008.07.027     Document Type: Article

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