Factor estimation using MCMC-based Kalman filter methods (Q961117): Difference between revisions

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+On Gibbs sampling for state space models
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+Markov chain Monte Carlo in conditionally Gaussian state space models
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Efficient Bayesian Inference for Dynamic Mixture Models
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Volatility and Links between National Stock Markets
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+Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
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+Likelihood analysis of non-Gaussian measurement time series
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+Optimal Mean-Squared-Error Batch Sizes
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+Markov chains for exploring posterior distributions. (With discussion)
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