Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives - Discussion on the paper by Durbin and Koopman

• 成果类型: Editorial Material
• 署名作者: Durbin, J; Koopman, SJ; Smith, JQ; Shephard, N; Chatfield, C; Young, P; Harvey, A; Bhansali, RJ; Sahu, SK; Doornik, JA; Nelder, JA; Pitt, MK; Aitkin, M; Bartlett, MS; Chan, K; Tong, H; Diebold, FX; van Dijk, HK; Fahrmeir, L; Frühwirth-Schnatter, S; Gamerman, D; Jacquier, E; Polson, NG; Jorgensen, B; Lundbye-Christensen, S; Kitagawa, G; Higuchi, T; Kumar, K; Lee, Y; Maravall, A; Quenneville, B; Thomson, P; Zellner, A
• 署名单位: University of London; London School Economics & Political Science; Tilburg University
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• 发表日期: 2000
• 页码: 29-56
• 关键词: GENERALIZED LINEAR-MODELS; monte-carlo; stochastic volatility; likelihood-estimation; GIBBS SAMPLER; inference; margins