Likelihood analysis of non-Gaussian measurement time series

被引:334
作者
Shephard, N [1 ]
Pitt, MK [1 ]
机构
[1] UNIV OXFORD, DEPT STAT, OXFORD OX1 3TG, ENGLAND
基金
英国经济与社会研究理事会;
关键词
blocking; exponential family; importance sampling; Markov chain Monte Carlo; simulation smoother; stochastic volatility;
D O I
10.1093/biomet/84.3.653
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
In this paper we provide methods for estimating non-Gaussian time series models. These techniques rely on Markov chain Monte Carlo to carry out simulation smoothing and Bayesian posterior analysis of parameters, and on importance sampling to estimate the likelihood function for classical inference. The time series structure of the models is used to ensure that our simulation algorithms are efficient.
引用
收藏
页码:653 / 667
页数:15
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