Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model
Year of publication: |
2014-10
|
---|---|
Authors: | Virbickaite, Audrone ; Lopes, Hedibert F. ; Ausín, Concepcion ; Galeano, Pedro |
Institutions: | Departamento de Estadistica, Universidad Carlos III de Madrid |
Subject: | Dirichlet Process Mixture | Markov Switching | MCMC | Particle Learning | Stochastic Volatility | Sequential Monte Carlo |
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