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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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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
-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are … importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative analysis is …
Persistent link: https://www.econbiz.de/10011377602
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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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Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013
Persistent link: https://www.econbiz.de/10009756308
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The R-package MitISEM : efficient and robust simulation procedures for Bayesian inference
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2015
mixture of Student-t densities is fitted to the target using an expectation maximization (EM) algorithm where each step of the … economics. The package MitISEM provides also an extended algorithm, 'sequential MitISEM', which substantially decreases …
Persistent link: https://www.econbiz.de/10010504035
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A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2012
Persistent link: https://www.econbiz.de/10009722688
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Parallelization experience with four canonical econometric models using ParMitISEM
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic … MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to … using a Graphics Processing Unit and a multi-core Central Processing Unit version of the MitISEM algorithm. The results show …
Persistent link: https://www.econbiz.de/10011441581
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Adaptive mixture of student-t distributions as a flexible candidate distribution for efficient simulation : the R package AdMit
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008
Persistent link: https://www.econbiz.de/10003739124
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A Bayesian analysis of unobserved componment models using ox
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907811