Stochastic multivariate mixture covariance model
Year of publication: |
March 2017
|
---|---|
Authors: | So, Mike Ka-pui ; Li, Raymond W. M. ; Asai, Manabu ; Jiang, Yue |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 2, p. 139-155
|
Subject: | Bayesian model selection | MCMC sampling | mixture modeling | stochastic covariance model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Bayes-Statistik | Bayesian inference | Stichprobenerhebung | Sampling | Modellierung | Scientific modelling | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Markov-Kette | Markov chain |
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