Strickland, Chris M.; Martin, Gael M.; Forbes, Catherine S. - In: Computational Statistics & Data Analysis 52 (2008) 6, pp. 2911-2930
The impact of parameterisation on the simulation efficiency of Bayesian Markov chain Monte Carlo (MCMC) algorithms for two non-Gaussian state space models is examined. Specifically, focus is given to particular forms of the stochastic conditional duration (SCD) model and the stochastic...
