Multivariate Stochastic Volatility via Wishart Processes: A Comment
指出Philipov和Glickman关于多变量随机波动率模型的参数估计方法存在错误，并给出了正确的公式以确保模型正确实现。
This comment refers to an error in the methodology for estimating the parameters of the model developed by Philipov and Glickman for modeling multivariate stochastic volatility via Wishart processes. For estimation they used Bayesian techniques. The derived expressions for the full conditionals of the model parameters as well as the expression for the acceptance ratio of the covariance matrix are erroneous. In this erratum all necessary formulae are given to guarantee an appropriate implementation and application of the model.