Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
Year of publication: |
1996-04
|
---|---|
Authors: | Pitt, Michael K ; Shephard, Neil |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Blocking | Convergence rates | Gibbs sampling | Parameterisation | Simulation smoother | Stochastic Volatility |
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