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Markov chain monte carlo methods for switching diffusion models
John C. Liechty
, Gareth O. Roberts
Marketing
Institute for Computational and Data Sciences (ICDS)
Penn State Cancer Institute
Cancer Institute, Next-Generation Therapies
Research output
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Contribution to journal
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Article
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peer-review
22
Scopus citations
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Keyphrases
Diffusion Model
100%
Markov Chain Monte Carlo Methods
100%
Switching Diffusion
100%
New York
50%
Update Mechanism
50%
State-space Model
50%
Metropolis-Hastings
50%
Continuous-time
50%
Hidden Markov Model
50%
Stochastic Differential Equations
50%
Markov
50%
Mean-reverting
50%
Latent Process
50%
Continuous-time Markov Chain
50%
Oil Market
50%
Latent Model
50%
Non-Markov
50%
Mercantile Exchange
50%
Reversible Jump
50%
Economics, Econometrics and Finance
Continuous Time
100%
Monte Carlo Simulation
100%
Markov Chain Monte Carlo
100%
Markov Chain
50%
Hidden Markov Model
50%
State Space Model
50%
Oil Market
50%
Mathematics
Diffusion Model
100%
Markov Chain Monte Carlo Method
100%
Space Model
50%
New York
50%
Continuous Time Markov Chain
50%
Continuous Time
50%
Stochastic Differential Equation
50%
Hidden Markov Model
50%
Social Sciences
Markov Chain Monte Carlo
100%
Stochastics
50%
Markov Chain
50%
State Space Model
50%
Oil Market
50%
Hidden Markov Model
50%