Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (Q4458366): Difference between revisions
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Revision as of 00:02, 1 March 2024
scientific article; zbMATH DE number 2060130
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter |
scientific article; zbMATH DE number 2060130 |
Statements
Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (English)
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17 March 2004
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Markov chain Monte Carlo (MCMC) techniques
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heavy tailed distributions
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non-Gaussian nonlinear state-space models
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