The scan sampler for time series models

DOI10.1093/BIOMET/84.4.929MaRDI QIDQ4376603zbMATH OpenOpenAlexFDO

Authors Piet de Jong

Publication date 11 February 1998

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/84.4.929

zbMATH Keywords

exponential familygeneralized linear time seriesGibbs samplingKalman filterMarkov chain Monte Carlononparametric regressionscan samplersmoothing filterstate space modelstochastic volatilitytime seriesTobit models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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(4)

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• Smoothing algorithms for state-space models

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