A multi‐move sampler for estimating non‐Gaussian time series models: Comments on Shephard & Pitt (1997)
Toshiaki Watanabe, Yasuhiro Omori
Biometrika · 2004 · Volume 91 · Issue 1
Abstract
This note points out a problem in the multi‐move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation.
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