A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models (Q2833228)
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scientific article; zbMATH DE number 6653869
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| English | A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models |
scientific article; zbMATH DE number 6653869 |
Statements
17 November 2016
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univariate and multivariate stochastic volatility model
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sequential Monte Carlo
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expectation-maximization
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Student-\(t\) distribution
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state-space model
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likelihood
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A \(t\)-distribution based particle filter for univariate and multivariate stochastic volatility models (English)
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0.8301202058792114
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0.8194706439971924
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0.8120395541191101
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0.8024757504463196
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0.8012498021125793
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