A unified mixture sampler dynamically adapts Omori et al.'s ten-component mixture through re-centering and rescaling to enable exact MCMC for nonlinear state-space models including SCD with unknown shape parameters.
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Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models
A unified mixture sampler dynamically adapts Omori et al.'s ten-component mixture through re-centering and rescaling to enable exact MCMC for nonlinear state-space models including SCD with unknown shape parameters.