Question: Consider the AR(1) plus noise model in Example 6.6. (a) Run Liu and Wests algorithm with di erent discount factors. (b) Implement the algorithm of

Consider the AR(1) plus noise model in Example 6.6.

(a) Run Liu and Wests algorithm with di erent discount factors.

(b) Implement the algorithm of Liu and West (2001) using an importance density that conditions on yt p( t t 1yt) instead of one that does not condition on yt

(c) Implement the algorithm of Liu and West (2001) using gamma kernels instead of Gaussian kernels to sample the variance parameters.

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