Open AccessFiltering and Estimation for a Class of Stochastic Volatility Models with Intractable Likelihoods
Author(s) -
Emilian Vankov,
Michele Guindani,
Katherine B. Ensor
Publication year - 2018
Publication title -
bayesian analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.685
H-Index - 58
eISSN - 1936-0975
pISSN - 1931-6690
DOI - 10.1214/18-ba1099
Subject(s) - stochastic volatility , particle filter , markov chain monte carlo , auxiliary particle filter , volatility (finance) , monte carlo method , computer science , bayesian inference , likelihood function , approximate bayesian computation , gibbs sampling , bayes estimator , bayesian probability , mathematics , inference , econometrics , mathematical optimization , kalman filter , algorithm , estimation theory , ensemble kalman filter , artificial intelligence , statistics , extended kalman filter
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