A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

DOI10.1093/BIOMET/91.1.246zbMATH Open1132.62349OpenAlexW2020481066MaRDI QIDQ5456568FDOQ5456568

Toshiaki Watanabe, Yasuhiro Omori

Publication date: 8 April 2008

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/91.1.246

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zbMATH Keywords

Markov chain Monte Carlostate variablesimulation smoothermulti-move sampler

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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• Estimating stochastic volatility models using daily returns and realized volatility simultaneously
• Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo stock exchange
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• Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
• Block sampler and posterior mode estimation for asymmetric stochastic volatility models
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• News impact curve for stochastic volatility models
• A new method for sequential learning of states and parameters for state-space models: the particle swarm learning optimization
• Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model
• Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
• The HESSIAN method: highly efficient simulation smoothing, in a nutshell
• An efficient sampling scheme for dynamic generalized models
• Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

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