The scan sampler for time series models
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Publication:4376603
DOI10.1093/biomet/84.4.929zbMath0892.62066MaRDI QIDQ4376603
Publication date: 11 February 1998
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/84.4.929
time series; stochastic volatility; Markov chain Monte Carlo; Kalman filter; exponential family; nonparametric regression; Gibbs sampling; state space model; smoothing filter; Tobit models; generalized linear time series; scan sampler
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
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