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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...

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Detalles Bibliográficos
Autores principales:	Liang, Rubing, Qin, Binbin, Xia, Qiang
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2022
Materias:	Article
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

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