Efficient data augmentation techniques for some classes of state space models

DOI10.1214/22-sts867arXiv1712.08887OpenAlexW4312238537MaRDI QIDQ6111471

Linda S. L. Tan

Publication date: 7 July 2023

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.08887

zbMATH Keywords

EM algorithmMarkov chain Monte Carlostate space modeldata augmentationreparametrizationstochastic volatility modelancillarity-sufficiency interweaving strategy

Mathematics Subject Classification ID

Statistics (62-XX)

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