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We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10013005987
normal density and is robust to fat-tailed returns as it averages information over the cross-section of the observed N …
Persistent link: https://www.econbiz.de/10013220280