Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
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Updated
Apr 1, 2019 - R
Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"
R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"
Comparison of different implementations of the same stochastic volatility model (stochvol, JAGS, Stan)
R package pmhtutorial available from CRAN.
R codes to implement two examples for the mode and importance sampling estimation methods.
R implementation of the Heston option pricing function
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