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Semiparametric Bayesian inference for time series with mixed spectra

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  • Carter, C.K.
  • Kohn, R.

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Bibliographic Info

Paper provided by Australian Graduate School of Management in its series Statistics Working Paper with number _005.

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Handle: RePEc:wop:agsmst:_005

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Postal: Sydney, NSW 2052
Web page: http://www.agsm.edu.au/
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Cited by:
  1. Shephard, N. & Pitt, M.K., 1995. "Likelihood Analysis of Non-Gaussian Parameter-Driven Models," Economics Papers 108, Economics Group, Nuffield College, University of Oxford.
  2. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  3. Roberto Iannaccone & Edoardo Otranto, 2003. "Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter," Econometrics 0311002, EconWPA.
  4. Fruhwirth-Schnatter, Sylvia & Fruhwirth, Rudolf, 2007. "Auxiliary mixture sampling with applications to logistic models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3509-3528, April.

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