On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
Year of publication: |
2014-09
|
---|---|
Authors: | Dufays, Arnaud |
Institutions: | Nationale Bank van België/Banque national de Belqique (BNB) |
Subject: | Bayesian inference | Sequential Monte Carlo | Annealed Importance sampling | Differential Evolution | Volatility models | Multifractal model | Markov-switching model |
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