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Accept-reject Metropolis-Hastings sampling and marginal likelihood estimation

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  • Siddhartha Chib
  • Ivan Jeliazkov

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9574.2005.00277.x
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Bibliographic Info

Article provided by Netherlands Society for Statistics and Operations Research in its journal Statistica Neerlandica.

Volume (Year): 59 (2005)
Issue (Month): 1 ()
Pages: 30-44

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Handle: RePEc:bla:stanee:v:59:y:2005:i:1:p:30-44

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402

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Cited by:
  1. Nobuhiro Hosoe & Shingo Takagi, 2011. "Retail Power Market Competition with Endogenous Entry Decision-An Auction Data Analysis," GRIPS Discussion Papers 11-01, National Graduate Institute for Policy Studies.
  2. Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
  3. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
  4. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.
  5. Ehlers, Ricardo S., 2012. "Computational tools for comparing asymmetric GARCH models via Bayes factors," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(5), pages 858-867.
  6. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," CIRJE F-Series CIRJE-F-514, CIRJE, Faculty of Economics, University of Tokyo.
  7. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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