| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152788 | Statistics & Probability Letters | 2014 | 6 Pages |
Abstract
Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by the hidden Markov Chain with switching.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jerzy P. Rydlewski, Małgorzata Snarska,