Bayesian analysis of the stochastic conditional duration model (Q959312): Difference between revisions

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Revision as of 02:44, 5 March 2024

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Bayesian analysis of the stochastic conditional duration model
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    Bayesian analysis of the stochastic conditional duration model (English)
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    11 December 2008
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    transaction data
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    latent variable model
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    non-Gaussian state space model
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    Markov chain Monte Carlo
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    Kalman filter and simulation smoother
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