In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...

Bayesian estimation and maximum likelihood methods represent two central paradigms in modern statistical inference. Bayesian estimation incorporates prior beliefs through Bayes’ theorem, updating ...

For some of my current projects, I'm probably going to need to eventually estimate some models using Metropolis-Hastings sampling. I understand the basic concepts, and the software I use (R) has ...

Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...