Open AccessParticle filters for inference of high-dimensional multivariate stochastic volatility models with cross-leverage effects
Author(s) -
Yaxian Xu,
Ajay Jasra
Publication year - 2019
Publication title -
foundations of data science
Language(s) - English
Resource type - Journals
ISSN - 2639-8001
DOI - 10.3934/fods.2019003
Subject(s) - particle filter , stochastic volatility , auxiliary particle filter , markov chain monte carlo , marginal likelihood , leverage (statistics) , multivariate statistics , bayesian inference , computer science , econometrics , monte carlo method , volatility (finance) , mathematics , bayesian probability , statistics , ensemble kalman filter , kalman filter , extended kalman filter