A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

DOI10.1093/BIOMET/91.1.246zbMath1132.62349OpenAlexW2020481066MaRDI QIDQ5456568

Toshiaki Watanabe, Yasuhiro Omori

Publication date: 8 April 2008

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/91.1.246

zbMATH Keywords

Markov chain Monte Carlostate variablesimulation smoothermulti-move sampler

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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