A Gibbs Sampling Algorithm to Estimate the Parameters of a Volatility Model: An Application to Ozone Data

• 作者: Eliane R. Rodrigues Guadalupe Tzintzun Verónica De Jesús Romo
• 来源期刊: 应用数学(英文)
• 学科: 医学
• 关键词: MCMC ALGORITHMS BAYESIAN INFERENCE VOLATILITY Models OZONE Air Pollution Mexico City
• 年，卷（期）: 2012,（12）
• 页码范围: 2178-2190
• 页数: 13页
• 分类号: R73

摘要

In this work we consider a stochastic volatility model, commonly used in financial time series studies, to analyse ozone data. The model considered depends on some parameters and in order to estimate them a Markov chain Monte Carlo algorithm is proposed. The algorithm considered here is the so-called Gibbs sampling algorithm which is programmed using the language R. Its code is also given. The model and the algorithm are applied to the weekly ozone averaged measurements obtained from the monitoring network of Mexico City.