Dijk, Dick van (contributor); … - 2007
density
p(θ,B,K|r,x) ∝ p(θ)p(r,B,K|x,θ). (8)
8
For the Gibbs sampling procedure we employ the efficient sampling algorithm
of … Gerlach et al. (2000) to handle the (occasional) structural breaks. The sampling
scheme can be summarized as follows:
1. Draw …