Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the … indirect sampling methods in these models, one has to find a good candidate density. In a recent paper - Hoogerheide, Kaashoek … sophisticated neural network simulation techniques is explored. In all examples considered in this paper - a bimodal distribution of …

predictive likelihoods. We illustrate the MitISEM algorithm using three canonical statistical and econometric models that are …

sense of having highly non-elliptical shapes. The simulation techniques are illustrated in several example models, such as a …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 …

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 …

-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture … empirical application to S&P index log-returns where non-nested GARCH-type models are estimated and combined to predict the …

-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture … empirical application to S&P index log-returns where non-nested GARCH-type models are estimated and combined to predict the …

-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture … empirical application to S&P index log-returns. Several non-nested GARCH-type models are estimated and combined to predict the …