Stochastic model specification search for Gaussian and partial non-Gaussian state space models

DOI10.1016/j.jeconom.2009.07.003zbMath1431.62373OpenAlexW2056536708MaRDI QIDQ2630151

Helga Wagner, Sylvia Frühwirth-Schnatter

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.07.003

zbMATH Keywords

Markov chain Monte Carlovariable selectionBayesian econometricsauxiliary mixture samplingnon-centered parameterization

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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