joshuaccchan/statespace-toolkit

MATLAB library for Bayesian state space models: precision-based samplers that draw the whole state path at once, for unobserved components, time-varying parameter, stochastic volatility and dynamic factor models, with examples and the replication packages from joshuachan.org.

语言：MATLAB · GitHub 星标：24 · Fork：5

话题：bayesian · bayesian-econometrics · forecasting · gibbs-sampling · macroeconometrics · matlab · mcmc · nowcasting

在 GitHub 上查看原仓库