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Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques

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  • Hisashi Tanizaki

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  • Hisashi Tanizaki, 2001. "Nonlinear and Non-Gaussian State Space Modeling Using Sampling Techniques," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 63-81, March.
    • Handle: RePEc:spr:aistmt:v:53:y:2001:i:1:p:63-81
    DOI: 10.1023/A:1017916420893
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    References listed on IDEAS

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    1. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    2. Carter, C.K. & Kohn, R., "undated". "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.
    3. Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800, Elsevier.
    4. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, December.
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    Cited by:

    1. Yasuhiro Omori & Toshiaki Watanabe, 2003. "Block Sampler and Posterior Mode Estimation for a Nonlinear and Non-Gaussian State-Space Model with Correlated Errors," CIRJE F-Series CIRJE-F-221, CIRJE, Faculty of Economics, University of Tokyo.
    2. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New Yo," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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