This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...</i></b>

DSGE models are typically estimated assuming the existence of certain structural shocks that drive macroeconomic fluctuations. We analyze the consequences of introducing nonfundamental shocks for the estimation of DSGE model parameters and propose a method to select the structural shocks driving...

This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...

South Africa and the rest of the world are saddled with challenges of appropriately using the enormous amount of waste that have negative impact on the environment. The investigation of sawdust as a waste material has been conducted in many countries over many years; and received positive...

This paper studies the behaviour of crypto currencies financial time-series of which Bitcoin is the most prominent example. The dynamic of those series is quite complex displaying extreme observations, asymmetries, and several nonlinear characteristics which are difficult to model. We develop a...

A Bayesian semi-parametric dynamic model combination is proposed in order to deal with a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing combination weight dependence between models as well as over time. It introduces an...

This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel - typically a posterior density kernel - using an adaptive mixture of...

This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel – typically a posterior density kernel – using an adaptive mixture...

A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry returns. The nonlinear state space representation of the model allows...