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State-space models with regime switching : classical and Gibbs-sampling approaches with applications / Chang-Jin Kim and Charles R. Nelson.

By: Contributor(s): Material type: TextTextLanguage: English Publication details: Cambridge : MIT Press, 1999.Description: xii, 297 páginas ; 23 cmContent type:
  • Texto
Media type:
  • Sin mediación
Carrier type:
  • Volumen
ISBN:
  • 9780262112383
Subject(s): DDC classification:
  • 330.015195 K45s  21
Other classification:
  • C01
Contents:
I: The classical approach -; 2. The maximum likelihood estimation method : practical issues ; 3. State-Space models and the Kalman filter ; 4. Markov-Switching models ; 5. State-Space models with Markov Switching ; 6. State-Space models with heteroskedastic disturbances -- II: The Gibbs-Sampling approach ; 7. An introduction to Bayesian inference and Gibbs-Sampling ; 8. State-Space models and Gibbs-Sampling ; 9. Markov- Switching models and Gibbs-Sampling ; 10. State-Space models with Markov Switching and Gibbs-Sampling ; 11. Gibbs-Sampling and parameter uncertainty : testing for mean reversion in heteroskedastic data.
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Holdings
Item type Home library Call number Vol info Status Notes Date due Barcode Item holds
LIBRO FISICO Biblioteca Principal 330.015195 K45s (Browse shelf(Opens below)) Ejemplar 1 Available Mantener en colección. 29004022862725
Total holds: 0

Incluye bibliografías e índice.

I: The classical approach -; 2. The maximum likelihood estimation method : practical issues ; 3. State-Space models and the Kalman filter ; 4. Markov-Switching models ; 5. State-Space models with Markov Switching ; 6. State-Space models with heteroskedastic disturbances -- II: The Gibbs-Sampling approach ; 7. An introduction to Bayesian inference and Gibbs-Sampling ; 8. State-Space models and Gibbs-Sampling ; 9. Markov- Switching models and Gibbs-Sampling ; 10. State-Space models with Markov Switching and Gibbs-Sampling ; 11. Gibbs-Sampling and parameter uncertainty : testing for mean reversion in heteroskedastic data.

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