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The cross-entropy method with patching for rare-event simulation of large Markov chains

Kaynar, Bahar; Ridder, Ad - 2009

There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as … Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method … with other importance sampling schemes. The performance of the importance sampling schemes is measured by the relative …

Persistent link: https://www.econbiz.de/10011379128

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

Persistent link: https://www.econbiz.de/10003248123

Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010357912