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Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm
MCMC algorithm is widely used in parameters’ estimation of GARCH-type models. However, the existing algorithms are either not easy to implement or not fast to run. In this paper, Hamiltonian Monte Carlo (HMC) algorithm, which is easy to perform and also efficient to draw samples from posterior distr...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9708521/ https://www.ncbi.nlm.nih.gov/pubmed/36467873 http://dx.doi.org/10.1007/s10614-022-10337-4 |