2 citations · 3 across the 2 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
stat.ME2015★ 2 cited
Bayesian inference for latent factor GARCH models
Michael K. Pitt, Jamie Hall, Robert Kohn
Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the…
stat.ME2012★ 1 cited
Bayesian inference for nonlinear structural time series models
Jamie Hall, Michael K. Pitt, Robert Kohn
This article discusses a partially adapted particle filter for estimating the likelihood of a nonlinear structural econometric state space models whose state transition density can…