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Daichi Hiraki

University of Tokyo

Yayoi 1-1-1

Bunkyo-ku

Tokyo, 113-8657

Japan

  • University of Tokyo

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Scholarly Papers (1)

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Unified mixture sampler for state-space models: Application to stochastic conditional duration models

Number of pages: 13 Posted: 08 Apr 2026
Daichi Hiraki and Yasuhiro Omori
University of Tokyo and University of Tokyo
Downloads 16 (1,509,872)

Abstract:

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Markov chain Monte Carlo, Mixture Sampler, Nonlinear State-Space Models, Stochastic Conditional Duration, High-frequency Data