Conditional Prior Proposals in Dynamic Models

DOI10.1111/1467-9469.00141zbMath0924.65152OpenAlexW2022295780MaRDI QIDQ4255160

Leonhard Knorr-Held

Publication date: 10 August 1999

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00141

zbMATH Keywords

comparisonconvergenceMonte Carlo simulationsMarkov chainMetropolis-Hastings algorithmautoregression\(t\)-distributionbinary time seriesBayesian inferencesconditional prior proposal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99)

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