Unified mixture sampler for state-space models: application to stochastic conditional duration models

DOI10.1016/J.SPL.2026.110925MaRDI QIDQ7346768zbMATH OpenFDO

Authors Daichi Hiraki, Yasuhiro Omori

Publication date 11 September 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2026.110925

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

Cites work

• A simple and efficient simulation smoother for state space time series analysis
• Auxiliary mixture sampling with applications to logistic models
• Bayesian analysis of the stochastic conditional duration model
• Efficient estimation and particle filter for max-stable processes
• Efficient importance sampling for ML estimation of SCD models
• Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
• scientific article; zbMATH DE number 5243763 (Why is no real title available?)
• Inverse Gaussian distribution for modeling conditional durations in finance
• Markov chain Monte Carlo methods for stochastic volatility models.
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• The simulation smoother for time series models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

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