Likelihood analysis of non-Gaussian measurement time series
From MaRDI portal
Publication:4364933
DOI10.1093/biomet/84.3.653zbMath0888.62095MaRDI QIDQ4364933
Neil Shephard, Michael K. Pitt
Publication date: 18 November 1997
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/af33bf9cca83292555ea5976e9c30ee4076b2891
importance sampling; stochastic volatility; Markov chain Monte Carlo; exponential family; blocking; simulation smoothing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C99: Probabilistic methods, stochastic differential equations
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