Bayesian estimation methods form a dynamic branch of statistical inference, utilising Bayes’ theorem to update probabilities in light of new evidence. This framework combines prior knowledge with ...
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete-time state-space Markov model. The algorithm employs two layers of ...
The exponentially weighted moving average (EWMA) model is a particular modeling scheme, supported by RiskMetrics, that is capable of forecasting the current level of volatility of financial time ...
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