Shape-constrained semiparametric additive stochastic volatility models

DOI10.1080/24754269.2019.1573410OpenAlexW2911820835MaRDI QIDQ5879997

Steven N. MacEachern, Xinyi Xu, Jiangyong Yin, Peter F. Craigmile

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2019.1573410

zbMATH Keywords

Markov chain Monte Carlononlinear time seriesleverage effectstate space modelparticle filterBayesian isotonic regression

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• R
• RcppArmadillo

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