The scan sampler for time series models

DOI10.1093/biomet/84.4.929zbMath0892.62066OpenAlexW2107796053MaRDI QIDQ4376603

Piet de Jong

Publication date: 11 February 1998

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/84.4.929

zbMATH Keywords

time seriesstochastic volatilityMarkov chain Monte CarloKalman filterexponential familynonparametric regressionGibbs samplingstate space modelsmoothing filterTobit modelsgeneralized linear time seriesscan sampler

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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