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 …

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 simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration … model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model …. We distinguish between models with a normal and Student <I>t</I> distribution since the latter typically provides a …

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

-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 …