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“Exact” and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study
We conduct a case study in which we empirically illustrate the performance of different classes of Bayesian inference methods to estimate stochastic volatility models. In particular, we consider how different particle filtering methods affect the variance of the estimated likelihood. We review and c...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8071426/ https://www.ncbi.nlm.nih.gov/pubmed/33921077 http://dx.doi.org/10.3390/e23040466 |