Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models

Gregor Kastner, Sylvia Frühwirth-Schnatter

Statistics and Mathematics

Publikation: Working/Discussion Paper › WU Working Paper

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1 Originalbeitrag in Fachzeitschrift

1 Ergebnisse

2014

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
Kastner, G. & Frühwirth-Schnatter, S., 2014, in: Computational Statistics and Data Analysis. 76, S. 408 - 423
Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung