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On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
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On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
September 2014
Dufays, A.
Working Paper N° 263
JEL classification:
C11
C15
C22
C58
Keywords:
Bayesian inference
Sequential Monte Carlo
Annealed Importance sampling
Differential Evolution
Volatility models
Multifractal model
Markov-switching model
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