In this paper we derive the Bayes estimates of the location parameter of normal and lognormal distribution under the hierarchical priors for the vector parameter, . The ML-II ε-contaminated class of priors are employed at the second stage of hierarchical priors to examine the robustness of...

In this paper we compare the performance of the Differential Evolution (DE) and the Repulsive Particle Swarm (RPS) methods of global optimization. To this end, seventy test functions have been chosen. Among these test functions, some are new while others are well known in the literature; some are...

In this paper an attempt has been made to fit the Gielis curves (modified by various functions) to simulated data. The estimation has been done by two methods - the Classical Simulated Annealing (CSA) and the Particle Swarm (PS) methods - of global optimization. The Repulsive Particle Swarm...

We address the problem of likelihood based inference for correlated diffusion processes using Markov chain Monte Carlo (MCMC) techniques. Such a task presents two interesting problems. First, the construction of the MCMC scheme should ensure that the correlation coefficients are updated subject...

In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange...

We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations that operate on the time scale of the diffusion. A...

This paper discusses Bayesian inference for stochastic volatility models based on continuous superpositions of Ornstein-Uhlenbeck processes. These processes represent an alternative to the previously considered discrete superpositions. An interesting class of continuous superpositions is defined...

This paper provides a new model that disentangles firm effects from persistent (time-invariant/long-term) and transient (time-varying/short-term) technical inefficiency.

Relatively few published studies apply Heckman’s (1979) sample selection model to the case of a discrete endogenous variable and those are limited to a single outcome equation. However, there are potentially many applications for this model in health, labor and financial economics. To fill in...

The derivation of loss distribution from insurance data is a very interesting research topic but at the same time not an easy task. To find an analytic solution to the loss distribution may be mislading although this approach is frequently adopted in the actuarial literature. Moreover, it is...