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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 <B>MitISEM</B> (mixture of <I>t</I> 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...</i></b>
Persistent link: https://www.econbiz.de/10011272589
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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - Tinbergen Instituut - 2012
This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...
Persistent link: https://www.econbiz.de/10011255807
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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in <I>Econometric Reviews</I>. Vol. 33(1-4), 3-35.<P> We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest...</p></i>
Persistent link: https://www.econbiz.de/10011256253
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Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - Tinbergen Instituut - 2014
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10011256750
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Tinbergen Instituut - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011272583
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10011272592
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Screening for Collusion: A Spatial Statistics Approach
Heijnen, Pim; Haan, Marco A.; Soetevent, Adriaan R. - Tinbergen Instituut - 2012
We develop a method to screen for local cartels. We first test whether there is statistical evidence of clustering of outlets that score high on some characteristic that is consistent with collusive behavior. If so, we determine in a second step the most suspicious regions where further...
Persistent link: https://www.econbiz.de/10011255447
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …
Persistent link: https://www.econbiz.de/10011255481
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Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient … the posterior density of the model parameters. This density is then used in importance sampling for model estimation …
Persistent link: https://www.econbiz.de/10011255484
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Divergent Priors and well Behaved Bayes Factors
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2011
Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...
Persistent link: https://www.econbiz.de/10011255610