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John Cameron Zito

Assistant Research Professor of Statistical Science
Statistical Science

Selected Publications


Time-Series Analysis

Chapter · January 1, 2024 Full text Cite

Sequential Bayesian inference for vector autoregressions with stochastic volatility

Journal Article Journal of Economic Dynamics and Control · April 1, 2020 We develop a sequential Monte Carlo (SMC) algorithm for Bayesian inference in vector autoregressions with stochastic volatility (VAR-SV). The algorithm builds particle approximations to the sequence of the model's posteriors, adapting the particles from on ... Full text Cite