A BAYESIAN SIMULATION APPROACH TO INFERENCE ON A MULTI-STATE LATENT FACTOR INTENSITY MODEL (Q2892458): Difference between revisions

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+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
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+Marginal Likelihood from the Gibbs Output
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+Marginal Likelihood From the Metropolis–Hastings Output
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+Filtering via Simulation: Auxiliary Particle Filters
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