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Efficient Gibbs sampling for Markov switching GARCH models.

Monica BillioRoberto CasarinAnthony Osuntuyi
Published in: Comput. Stat. Data Anal. (2016)
Keyphrases
  • gibbs sampling
  • markov chain
  • topic models
  • co occurrence
  • data analysis
  • parameter estimation
  • latent dirichlet allocation
  • markov chain monte carlo