Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (Q70784)
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scientific article
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| English | Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models |
scientific article |
Statements
76
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408-423
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August 2014
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23 November 2018
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Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (English)
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Markov chain Monte Carlo
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non-centering
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auxiliary mixture sampling
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massively parallel computing
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state space model
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exchange rate data
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0.8723980784416199
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0.7977684140205383
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0.7501264214515686
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0.745993435382843
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