Efficient data augmentation techniques for some classes of state space models
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Publication:6111471
DOI10.1214/22-sts867arXiv1712.08887OpenAlexW4312238537MaRDI QIDQ6111471
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
EM algorithmMarkov chain Monte Carlostate space modeldata augmentationreparametrizationstochastic volatility modelancillarity-sufficiency interweaving strategy
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