Dijk, Dick van (contributor); … - 2007
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tributions and the posterior simulation algorithm. The interested reader is referred
to Giordani et al. (2007) and Ravazzolo et … density
p(θ,B,K|r,x) ∝ p(θ)p(r,B,K|x,θ). (8)
8
For the Gibbs sampling procedure we employ the efficient sampling algorithm
of … latent variables κi,t, measuring the (occasional) structural breaks, are
drawn using the algorithm of Gerlach et al. (2000 …