Description Usage Arguments Value Author(s) References
Calculate the simulation inefficiency factor, as a means of checking the convergence of MCMC
1 | SIF(BAND_MATRIX, NUM_ITERATIONS, NUM_BATCH)
|
BAND_MATRIX |
Bandwidth parameters drawn from the MCMC |
NUM_ITERATIONS |
Number of total iterations |
NUM_BATCH |
Number of batch samples |
Numerical values
Han Lin Shang
S. Kim, N. Shephard and S. Chib (1998) ‘Stochastic volatility: likelihood inference and comparison with ARCH models’, The Review of Economic Studies, 65(3), 361-393.
R. Meyer and J. Yu (2000) ‘BUGS for a Bayesian analysis of stochastic volatility models’, Econometrics Journal, 3(2), 198-215.
Y. K. Tse, X. Zhang and J. Yu (2004) ‘Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method’, Quantitative finance, 4(2), 158-169.
X. Zhang, R. D. Brooks and M. L. King (2009) ‘A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation’, Journal of Econometrics, 153(1), 21-32.
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