A non-iterative (trivial) method for posterior inference in stochastic volatility models

Tsionas, Mike G. (2017) A non-iterative (trivial) method for posterior inference in stochastic volatility models. Statistics and Probability Letters, 126. pp. 83-87. ISSN 0167-7152

[img]
Preview
PDF (NON-iterative sampler REVISED)
NON_iterative_sampler_REVISED.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.

Download (314kB)

Abstract

We propose a new non-iterative, very simple but accurate, Bayesian inference procedure for the stochastic volatility model. The only requirement of our approach is to solve a large, sparse linear system which we avoid by iteration.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Probability Letters
Additional Information:
This is the author’s version of a work that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Statistics and Probability Letters, 126, 2017 DOI: 10.1016/j.spl.2017.02.035
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
85548
Deposited By:
Deposited On:
22 Mar 2017 09:30
Refereed?:
Yes
Published?:
Published
Last Modified:
09 Jul 2020 05:09