Publication:3580294

zbMath1192.62200MaRDI QIDQ3580294

Mike K. P. So

Publication date: 12 August 2010

zbMATH Keywords

prediction; smoothing; Bayesian estimation; Gibbs sampling; fractional differencing; Monte Carlo Markov chain

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

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