US Industry Stock Returns

This is a dataset used for comparing different particle Markov chain Monte Carlo (PMCMC) methods, found in: Efficiently combining pseudo marginal and particle Gibbs sampling by D. Gunawan, C. Carter, and R. Kohn. This dataset contains de-meaned daily returns for 26 US industry portfolios, from 11 December 2001 to 11 November 2013 (a total of 3001 daily observations of the 26-dimensional vector of industry portfolios). The original dataset is obtained from the website of Kenneth French.