A Monte Carlo Markov chain algorithm for a class of mixture time series models (Q692950)
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scientific article; zbMATH DE number 6113560
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| English | A Monte Carlo Markov chain algorithm for a class of mixture time series models |
scientific article; zbMATH DE number 6113560 |
Statements
A Monte Carlo Markov chain algorithm for a class of mixture time series models (English)
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6 December 2012
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Bayesian nonparametric
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Dirichlet process prior
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Poisson-Dirichlet process prior
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Bayesian Poisson calculus
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GARCH
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volatility estimation
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0.7758431434631348
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0.7657322287559509
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0.7540714740753174
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0.7540712356567383
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0.7505546808242798
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