Pages that link to "Item:Q452558"
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The following pages link to Simulation smoothing for state-space models: a computational efficiency analysis (Q452558):
Displayed 10 items.
- Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models (Q70784) (← links)
- Achieving shrinkage in a time-varying parameter model framework (Q89526) (← links)
- Wavelet-Variance-Based Estimation for Composite Stochastic Processes (Q97868) (← links)
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell (Q527930) (← links)
- Fast computation of the deviance information criterion for latent variable models (Q1659173) (← links)
- Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine (Q2000331) (← links)
- Efficient matrix approach for classical inference in state space models (Q2311132) (← links)
- An unscented Kalman smoother for volatility extraction: evidence from stock prices and options (Q2361173) (← links)
- Moving average stochastic volatility models with application to inflation forecast (Q2442456) (← links)
- A re-examination of Libor rigging: a time-varying cointegration perspective (Q4555146) (← links)