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Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - Tinbergen Instituut - 2013

presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive … and for Graphical Process Unit (GPU) parallel computing. For the GPU implementation we use the Matlab parallel computing … the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore CPU. We show the …

Persistent link: https://www.econbiz.de/10011257352

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - Tinbergen Instituut - 2015

This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...

Persistent link: https://www.econbiz.de/10011272589

Time Series Modelling using TSMod 3.24

Bos, Charles S. - Tinbergen Instituut - 2003

TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.

Persistent link: https://www.econbiz.de/10011255763