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Inference for models with asymmetric α -stable noise processes

Tatjana Lemke and Simon J. Godsill

in Unobserved Components and Time Series Econometrics

Published in print:
2015
Published Online:
January 2016
ISBN:
9780199683666
eISBN:
9780191763298
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683666.003.0009
Subject:
Economics and Finance, Econometrics

This chapter begins with a simple general framework for inference in the presence of α‎-stable processes, where the stable processes are represented as conditionally Gaussian distributions, relying ... More


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