Stochastic Volatility: Bayesian Computation Using Automatic Differentiation and The Extended Kalman Filter
Meyer, Renate Et al
Stochastic Volatility: Bayesian Computation Using Automatic Differentiation and The Extended Kalman Filter J5085 2003 - 2003 - 408-420 V. 06 Issue. 2
Econometrics
Markov Chain Monte Carlo;Extended kalam filter;Laplace approximation;Automatric differentiation;Heavy tailed distributions;Non Gaussian Nonlinear state space models;
Stochastic Volatility: Bayesian Computation Using Automatic Differentiation and The Extended Kalman Filter J5085 2003 - 2003 - 408-420 V. 06 Issue. 2
Econometrics
Markov Chain Monte Carlo;Extended kalam filter;Laplace approximation;Automatric differentiation;Heavy tailed distributions;Non Gaussian Nonlinear state space models;