Construction of Stationary Time Series via the Gibbs Sampler with Application to Volatility Models
نویسندگان
چکیده
In this paper, we provide a method for modelling stationary time series. We allow the family of marginal densities for the observations to be speci ed. Our approach is to construct the model with a speci ed marginal family and build the dependence structure around it. We show that the resulting time series is linear with a simple autocorrelation structure. In particular, we present an original application of the Gibbs sampler. We illustrate our approach by tting a model to time series count data with a marginal Poisson-gamma density. Some key words: ARCH, Exponential family, GARCH, Gibbs sampler, Filtering, Markov chains, Markov chain Monte Carlo , Stochastic Volatility
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