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  • Search: subject:"Particle Gibbs"
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Year of publication
Subject
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Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Particle Gibbs 2 Sequential Monte Carlo 2 Theorie 2 Theory 2 Correlation 1 Double-block sampler 1 Factor analysis 1 Factor model 1 Faktorenanalyse 1 Forward and backward sampling 1 Importance sampling 1 Korrelation 1 Markov chain 1 Markov-Kette 1 Particle Gibbs sampler 1 Particle MCMC 1 Particle Markov chain Monte Carlo 1 Particle filter 1 Particle simulation smoother 1 Piecewise deterministic processes 1 Rolling-window estimation 1 Sampling 1 Simulation 1 State space model 1 Stichprobenerhebung 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Structural change 1 Time series analysis 1 Time-varying covariance matrix 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 Zustandsraummodell 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Awaya, Naoki 1 Finke, Axel 1 Johansen, Adam 1 Li, Mengheng 1 Omori, Yasuhiro 1 Scharth, Marcel 1 Spanò, Dario 1
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Published in...
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Annals of the Institute of Statistical Mathematics 1 CIRJE discussion papers / F series 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Particle rolling mcmc with double-block sampling
Awaya, Naoki; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339020
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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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Cover Image
Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
Finke, Axel; Johansen, Adam; Spanò, Dario - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 577-609
We develop particle Gibbs samplers for static-parameter estimation in discretely observed piecewise deterministic …-reduction techniques known as backward and ancestor sampling. Finally, we propose a novel Gibbs step that improves mixing in particle Gibbs … provide a comparison between the two particle Gibbs samplers for PDPs developed in this paper. Simulation results indicate …
Persistent link: https://www.econbiz.de/10011000086
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