Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (Q2687889)
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scientific article; zbMATH DE number 7660669
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| English | Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks |
scientific article; zbMATH DE number 7660669 |
Statements
Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks (English)
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7 March 2023
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ancestor sampling
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Bayes
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particle filtering
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structural breaks
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0.7975658774375916
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0.7809178233146667
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0.737019419670105
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0.7360360026359558
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0.7355730533599854
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