A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)
非高斯时间序列模型的多步采样器:对 Shephard 与 Pitt(1997)的评论
This note points out a problem in the multi‐move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation.