A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

Toshiaki Watanabe

Biometrika, 2004, vol. 91, issue 1, 246-248

Abstract: This note points out a problem in the multi-move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation. Copyright Biometrika Trust 2004, Oxford University Press.

Date: 2004
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