No Time for Bayes

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Showing posts with the label State-Space Model

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: This blog is mostly intended to reproduce the models and examples listed in the book "Analysis of Financial Time Series", by Ruey S. Tsay using Stan, a probabilistic programming language that provides full bayesian inference using MCMC sampling https://mc-stan.org/. I am not a statistician/mathematician/econometrician so do not expect anything to make sense, but feel free to comment and contribute.