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To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009
importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative analysis is … appropriately yet quickly tuned candidate, straightforward importance sampling provides the most efficient estimator of the marginal …
Persistent link: https://www.econbiz.de/10011377602
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A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods
Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; … - 2010
quickly tuned adaptive candidate, straightforward importance sampling provides a computationally efficient estimator of the …
Persistent link: https://www.econbiz.de/10011380802
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To bridge, to warp or to wrap? A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009
Persistent link: https://www.econbiz.de/10003813789
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Counting with combined splitting and capture-recapture methods
Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, … - 2011
Persistent link: https://www.econbiz.de/10009008687
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Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010
used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …
Persistent link: https://www.econbiz.de/10011380465
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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; … - 2012
Persistent link: https://www.econbiz.de/10009722972
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The R-package MitISEM : efficient and robust simulation procedures for Bayesian inference
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2015
This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which … optimization procedure is weighted using importance sampling. In the second stage this mixture density is a candidate density for … efficient and robust application of importance sampling or the Metropolis-Hastings (MH) method to estimate properties of the …
Persistent link: https://www.econbiz.de/10010504035
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Sectoral slowdowns in the UK : evidence from transmission probabilities and economic linkages
Janssens, Eva; Lumsdaine, Robin L. - 2021
This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through...
Persistent link: https://www.econbiz.de/10012511453
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Bayesian risk forecasting for long horizons
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983
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Testing for integration using evolving trend and seasonals models : a Bayesian approach
Koop, Gary; Dijk, Herman K. van - 1999
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10011302135