Journal
STATISTICS & PROBABILITY LETTERS
Volume 126, Issue -, Pages 83-87Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.spl.2017.02.035
Keywords
Stochastic volatility model; Monte Carlo methods; Markov Chain Monte Carlo; Iterative methods
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We propose a new non-iterative, very simple but accurate, Bayesian inference procedure for the stochastic volatility model. The only requirement of our approach is to solvez large, sparse linear system which we avoid by iteration. (C) 2017 Elsevier B.V. All rights reserved.
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