haku: @freeterm Markov analysis / yhteensä: 4
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| Tekijä: | Nakatsuma, T. |
| Otsikko: | Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach |
| Lehti: | Journal of Econometrics
2000 : MAR, VOL. 95:1, p. 57-69 |
| Asiasana: | Models Regression analysis |
| Vapaa asiasana: | Bayesian analysis Monte Carlo simulation Markov analysis |
| Kieli: | eng |
| Tiivistelmä: | There is a Markov chain Monte Carlo method developed for a linear regression model with an ARMA(p,q)-GARCH(r,s) error. To generate a Monte Carlo sample from the joint posterior distribution, a Markov chain sampling with the Metropolis-Hastings (1953,1970) algorithm is employed. As illustration, an ARMA-GARCH model of simulated time series data is estimated. |
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