MCMC Estimation of Restricted Covariance Matrices

By Joshua C. C. Chan, Ivan Jeliazkov. 2009

49 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/646bf6f5cf5924788e349f2734aa5ae90ef1a9fa

Citations in the corpus

• Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models (2019, unknown): “We employ the precision-based algorithm of Chan & Jeliazkov (2009) which can simulate the parameters in distinct regimes efficiently and improve the computing speed greatly.”