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Biometrika 2004 91(1):246-248; doi:10.1093/biomet/91.1.246
© 2004 by Biometrika Trust
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Miscellanea

A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

Toshiaki Watanabe1 and Yasuhiro Omori2

1 Faculty of Economics, Tokyo Metropolitan University, 1-1 Minami Ohsawa, Hachioji-shi, Tokyo, 192-0397, Japan twatanab{at}bcomp.metro-u.ac.jp 2 Faculty of Economics, University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo, 113-0033, Japan omori{at}e.u-tokyo.ac.jp

This note points out a problem in the multi-move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation.

Key Words: Markov chain Monte Carlo; Multi-move sampler; Simulation smoother; State variable

Received August 2001. Revised June 2003


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