1 citations · 1 across the 6 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
stat.ME2019
A Pseudo-Marginal Metropolis-Hastings Algorithm for Estimating Generalized Linear Models in the Presence of Missing Data
Taylor R. Brown, Timothy L. McMurry, Alexander Langevin
The missing data issue often complicates the task of estimating generalized linear models (GLMs). We describe why the pseudo-marginal Metropolis-Hastings algorithm, used in this se…
stat.AP2019
A Factor Stochastic Volatility Model with Markov-Switching Panic Regimes
Taylor R. Brown
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evi…