Locally Scaled and Stochastic Volatility Metropolis- Hastings Algorithms
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DOI: 10.3390/a14120351
Abstract: Markov chain Monte Carlo (MCMC) techniques are usually used to infer model parameters when closed-form inference is not feasible, with one of the simplest MCMC methods being the random walk Metropolis–Hastings (MH) algorithm. The MH… read more here.
Keywords: stochastic volatility; volatility metropolis; metropolis hastings; effective sample ... See more keywords