Sequential Bayesian inference for vector autoregressions with stochastic volatility (Q2181522): Difference between revisions

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Property / DOI: 10.1016/j.jedc.2020.103851; 10.26509/frbc-wp-201929 / rank
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Latest revision as of 11:11, 25 September 2024

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Sequential Bayesian inference for vector autoregressions with stochastic volatility
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    Sequential Bayesian inference for vector autoregressions with stochastic volatility (English)
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    19 May 2020
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    vector autoregressions
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    stochastic volatility
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    sequential Monte Carlo
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    particle filter
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    Rao-Blackwellization
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