The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models (Q367542): Difference between revisions
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| Property / author: Hedibert Freitas Lopes / rank | |||
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| Property / Mathematics Subject Classification ID: 62E10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P10 / rank | |||
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| Property / zbMATH DE Number: 6208419 / rank | |||
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extended generalized inverse Gaussian distribution | |||
| Property / zbMATH Keywords: extended generalized inverse Gaussian distribution / rank | |||
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Gibbs sampling | |||
| Property / zbMATH Keywords: Gibbs sampling / rank | |||
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log-linear model | |||
| Property / zbMATH Keywords: log-linear model / rank | |||
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overrelaxation slice sampler | |||
| Property / zbMATH Keywords: overrelaxation slice sampler / rank | |||
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stochastic volatility model | |||
| Property / zbMATH Keywords: stochastic volatility model / rank | |||
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Latest revision as of 00:06, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models |
scientific article |
Statements
The extended generalized inverse Gaussian distribution for log-linear and stochastic volatility models (English)
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16 September 2013
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extended generalized inverse Gaussian distribution
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Gibbs sampling
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log-linear model
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overrelaxation slice sampler
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stochastic volatility model
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