A t-distribution based particle filter for univariate and multivariate stochastic volatility models (Q2833228)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A t-distribution based particle filter for univariate and multivariate stochastic volatility models |
scientific article |
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A t-distribution based particle filter for univariate and multivariate stochastic volatility models (English)
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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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