Sequential Monte Carlo with model tempering
Year of publication: |
2024
|
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Authors: | Mlikota, Marko ; Schorfheide, Frank |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 2, p. 249-269
|
Subject: | Bayesian computations | dynamic stochastic general equilibrium models | sequential Monte Carlo | stochastic volatility | vector autoregressions | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Dynamisches Gleichgewicht | Dynamic equilibrium | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
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