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- W3123678046 abstract "Abstract This paper details particle Markov chain Monte Carlo (PMCMC) techniques for analysis of unobserved component time series models using several economic data sets. The objective of this paper is to explain the basics of the methodology and provide computational applications that justify applying PMCMC in practice. For instance, we use PMCMC to estimate a stochastic volatility model with a leverage effect, Student-t distributed errors or serial dependence. We also model time series characteristics of monthly US inflation rate by considering a heteroskedastic ARFIMA model where heteroskedasticity is specified by means of a Gaussian stochastic volatility process." @default.
- W3123678046 created "2021-02-01" @default.
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- W3123678046 date "2016-01-01" @default.
- W3123678046 modified "2023-10-16" @default.
- W3123678046 title "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox" @default.
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- W3123678046 doi "https://doi.org/10.1515/jtse-2013-0024" @default.
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