A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

This note points out a problem in the multi-move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation. Copyright Biometrika Trust 2004, Oxford University Press.

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Year of publication:	2004
Authors:	Watanabe, Toshiaki
Published in:	Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 91.2004, 1, p. 246-248
Publisher:	Biometrika Trust

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005559317