4 citations · 4 across the 6 of their papers we have counts for
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math.ST2012
Efficient Gibbs Sampling for Markov Switching GARCH Models
Monica Billio, Roberto Casarin, Anthony Osuntuyi
We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-…
math.ST2008
Online data processing: comparison of Bayesian regularized particle filters
Roberto Casarin, Jean-Michel Marin
The aim of this paper is to compare three regularized particle filters in an online data processing context. We carry out the comparison in terms of hidden states filtering and par…