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Relevant statistics for Bayesian model choice

Rousseau, Judith; Robert, Christian P.; Pillai, Natesh S.; … - Université Paris-Dauphine (Paris IX) - 2014

The choice of the summary statistics in Bayesian inference and in particular in ABC algorithms is paramount to produce a valid outcome. We derive necessary and sufficient conditions on those statistics for the corresponding Bayes factor to be convergent, namely to asymptotically select the true...

Persistent link: https://www.econbiz.de/10011166507

Robust outlier detection for Asia–Pacific stock index returns

Ané, Thierry; Ureche-Langau, Loredana; Gambet, Jean-Benoît - Université Paris-Dauphine (Paris IX) - 2008

Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model...

Persistent link: https://www.econbiz.de/10010752616

Understanding the Fine Structure of Electricity Prices

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10011166403

Studentization and deriving accurate p-values

Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine (Paris IX) - 2008

Bayesian literature, with many variations and some preference for two versions labelled pppost and pcpred. The bootstrap method … develop: an ancillary based p-value designated panc; a special version of the Bayesian pcpred; and a bootstrap based p … bootstrap would require a magnitude more in computation and would perhaps not be accessible. Examples are given to indicate the …

Persistent link: https://www.econbiz.de/10010905315

Simulation in Statistics

Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in...

Persistent link: https://www.econbiz.de/10010707776

A vanilla Rao-Blackwellisation of Metropolis-Hastings algorithms

Douc, Randal; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

Casella and Robert (1996) presented a general Rao--Blackwellisation principle for accept-reject and Metropolis-Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at a high cost in computing and storage. Adopting a completely different...

Persistent link: https://www.econbiz.de/10010861432

Ask and Ye Shall Receive: The Effect of the Appeals Scale on Consumers' Donation Behavior

Desmet, Pierre; Feinberg, Fred M. - Université Paris-Dauphine (Paris IX) - 2003

Managers in the fundraising and public sectors face the constant challenge of soliciting donations from a population who may or may not have donated before. Rather than merely asking respondents what they wish to donate, it is standard practice to present a set of suggested amounts – the...

Persistent link: https://www.econbiz.de/10010905374

Approximating the marginal likelihood in mixture models

Robert, Christian P.; Marin, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2008

In Chib (1995), a method for approximating marginal densities in a Bayesian setting is proposed, with one proeminent application being the estimation of the number of components in a normal mixture. As pointed out in Neal (1999) and Fruhwirth-Schnatter (2004), the approximation often fails short...

Persistent link: https://www.econbiz.de/10010706383

Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods

Warin, Xavier; Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2012

The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and...

Persistent link: https://www.econbiz.de/10010706399

Introduction to Special Issue on Monte Carlo Methods in Statistics

Doucet, Arnaud; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2013

Persistent link: https://www.econbiz.de/10010706529

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