Narrow search
Showing 1 - 10 of 42
Cover Image
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation : The R Package AdMit
Ardia, David - 2018
This paper presents the R package AdMit which provides functions to approximate and sample from a certain target distribution given only a kernel of the target density function. The core algorithm consists in the function AdMit which fits an adaptive mixture of Student-t distributions to the...
Persistent link: https://www.econbiz.de/10012746639
Cover Image
Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances
Hoogerheide, Lennart F. - 2007
In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …
Persistent link: https://www.econbiz.de/10012729891
Cover Image
The R Package Mitlsem : Mixture of Student-T Distributions Using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan; Hoogerheide, Lennart F.; Opschoor, Anne; … - 2012
This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...
Persistent link: https://www.econbiz.de/10014165417
Cover Image
Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz T. - 2014
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10013056713
Cover Image
A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart F. - 2011
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed … MitISEM in a sequential manner, so that the candidate distribution for posterior simulation is cleverly updated when new data … with a tempering approach, which facilitates the simulation from densities with multiple modes that are far apart. Second …
Persistent link: https://www.econbiz.de/10013131624
Cover Image
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
This discussion paper resulted in a chapter in: (K. Bocker (Ed.)) 'Rethinking Risk Measurement and Reporting - Volume II: Examples and Applications from Finance', 2010, London: Riskbooks.<P> This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of...</p>
Persistent link: https://www.econbiz.de/10011255484
Cover Image
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...</i>
Persistent link: https://www.econbiz.de/10011256998
Cover Image
Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Statistical Software<I> (2009). Vol. 29(3), 1-32.<P> This paper presents the R package AdMit which provides functions to approximate and sample from a certain target distribution given only a kernel of the target density function. The...</p></i></i>
Persistent link: https://www.econbiz.de/10011257456
Cover Image
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010
This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to the...
Persistent link: https://www.econbiz.de/10008838590
Cover Image
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...</i>
Persistent link: https://www.econbiz.de/10008838647