Metropolis sampling in bilinear time series models

MaRDI QIDQ4395011zbMATH OpenFDO

Authors Katja Ickstadt, Wolfgang Polasek, S. Jin

Publication date 11 June 1998

zbMATH Keywords

bilinear time seriesGibbs samplerMarkov chain methodsMetropolis algorithm

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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