Comment on article by Windle and Carvalho

DOI10.1214/14-BA918zbMath1327.62134MaRDI QIDQ899054

Roberto Casarin

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1416579177

zbMATH Keywords

stochastic volatility; exponential smoothing; state-space models; positive-valued processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

15B48: Positive matrices and their generalizations; cones of matrices

Uses Software

• expsmooth