Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (Q4458366)
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scientific article; zbMATH DE number 2060130
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| English | Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter |
scientific article; zbMATH DE number 2060130 |
Statements
Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter (English)
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17 March 2004
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Markov chain Monte Carlo (MCMC) techniques
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heavy tailed distributions
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non-Gaussian nonlinear state-space models
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0.8517976403236389
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0.8475742936134338
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0.8318625092506409
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0.8318620920181274
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0.8278312683105469
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