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Monte Carlo smoothing for nonlinear time series

Godsill, Simon J.; Doucet, Arnaud; West, Mike - In: Journal of the American Statistical Association : JASA 99 (2004) 465, pp. 156-168

Persistent link: https://www.econbiz.de/10002029615

Prediction of cyclic and trend frequencies in time series using the Hilbert-Huang transform

Christensen, Hugh L.; Godsill, Simon J. - In: International journal of computational economics and … 4 (2014) 3/4, pp. 372-412

Persistent link: https://www.econbiz.de/10010496410

The correlated pseudomarginal method

Deligiannidis, George; Doucet, Arnaud; Pitt, Michael K. - In: Journal of the Royal Statistical Society: Series B … 80 (2018) 5, pp. 839-870

Persistent link: https://www.econbiz.de/10012097269

Gibbs flow for approximate transport with applications to Bayesian computation

Heng, Jeremy; Doucet, Arnaud; Pokern, Yvo - In: Journal of the Royal Statistical Society: Series B … 83 (2021) 1, pp. 156-187

Persistent link: https://www.econbiz.de/10012538898

Non‐reversible parallel tempering : A scalable highly parallel MCMC scheme

Syed, Saifuddin; Bouchard‐Côté, Alexandre; … - In: Journal of the Royal Statistical Society: Series B … 84 (2021) 2, pp. 321-350

Persistent link: https://www.econbiz.de/10012810805

Robust inference on parameters via particle filters and sandwich covariance matrices

Doucet, Arnaud; Shephard, Neil G. - 2012

Persistent link: https://www.econbiz.de/10009579335

Robust inference on parameters via particle filters and sandwich covariance matrices

Doucet, Arnaud; Shephard, Neil G. - 2012

Persistent link: https://www.econbiz.de/10009579539

Simulation of the Annual Loss Distribution in Operational Risk Via Panjer Recursions and Volterra Integral Equations for Value at Risk and Expected Shortfall Estimation

Peters, Gareth - 2017

Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in Operational Risk modeling, before expanding upon...

Persistent link: https://www.econbiz.de/10012954967

Calibration and Filtering for Multi Factor Commodity Models with Seasonality : Incorporating Panel Data from Futures Contracts

Peters, Gareth - 2014

We construct a general multi-factor model for estimation and calibration of commodity spot prices and futures valuation. This extends the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long and short term dynamic...

Persistent link: https://www.econbiz.de/10013043331

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018

Persistent link: https://www.econbiz.de/10012203994