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In several scientific fields, like bioinformatics, financial and macro-economics, important theoretical and practical issues exist that involve multimodal data distributions. We propose a Bayesian approach using mixtures distributions to approximate accurately such data distributions. Shape and...
Persistent link: https://www.econbiz.de/10012431876
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10010399681
Persistent link: https://www.econbiz.de/10003813789
This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...
Persistent link: https://www.econbiz.de/10011377602
A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive density of logreturns. Our proposed approach...
Persistent link: https://www.econbiz.de/10012214294
Persistent link: https://www.econbiz.de/10012482776
A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive density of logreturns. Our proposed approach...
Persistent link: https://www.econbiz.de/10012057160
In several scientific fields, such as finance, economics and bioinformatics, important theoretical and practical issues exist involving multimodal and asymmetric count data distributions due to heterogeneity of the underlying population. For accurate approximation of such distributions we...
Persistent link: https://www.econbiz.de/10015062977
Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...
Persistent link: https://www.econbiz.de/10011374406