Strickland, Chris M; Martin, Gael; Forbes, Catherine S - Department of Econometrics and Business Statistics, … - 2006
The impact of parameterisation on the simulation efficiency of Bayesian Markov chain Monte Carlo (MCMC) algorithms for two non-Gaussian state space models is examined. Specifically, focus is given to particular forms of the stochastic conditional duration (SCD) model and the stochastic...