Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, location-scale transformation and a transformation to polar coordinates are used. After the transformation to polar coordinates, a MetropolisHastings algorithm is applied to sample directions and, conditionally on these, distances are generated by inverting the CDF. A sequential procedure is applied to update the location and scale. Tested on a set of canonical models that feature near non-identifiability, strong correlation, and bimodality, APS compares favourably with the standard Metropolis-Hastings sampler in terms of parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of the Value-at-Risk of the return of the Dow Jones stock index.
Year of publication: |
1999-10-01
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Authors: | BAUWENS, Luc ; BOS, Charles S. ; DIJK, Herman K. VAN |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | Markov chain Monte Carlo | simulation | polar coordinates | GARCH | ill-behaved posterior | Value-at-Risk |
Saved in:
freely available
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 1999057 |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques |
Source: |
Persistent link: https://www.econbiz.de/10005042753
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