Nonlinear State-Space Models With State-Dependent Variances (Q4468454)
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scientific article; zbMATH DE number 2073157
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonlinear State-Space Models With State-Dependent Variances |
scientific article; zbMATH DE number 2073157 |
Statements
Nonlinear State-Space Models With State-Dependent Variances (English)
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10 June 2004
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affine term structure model
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Markov chain Monte Carlo
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mixture model
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nonlinear state-space model
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smoothing
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state-dependent variance
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stochastic volatility
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