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A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2011

Persistent link: https://www.econbiz.de/10008809885

To bridge, to warp or to wrap? A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

Persistent link: https://www.econbiz.de/10003813789

To bridge, to warp or to wrap? : a comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - 2009

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

The R-package MitISEM : efficient and robust simulation procedures for Bayesian inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2015

Persistent link: https://www.econbiz.de/10011326076

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of econometrics 171 (2012) 2, pp. 101-120

Persistent link: https://www.econbiz.de/10009691174

The r package MitISEM : mixture of student-t distributions using importance sampling weighted expectation maximization for efficient and robust simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

Persistent link: https://www.econbiz.de/10009722972

Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Persistent link: https://www.econbiz.de/10009756308

Parallelization experience with four canonical econometric models using ParMitISEM

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approximate a non-elliptical target density using...

Persistent link: https://www.econbiz.de/10011441581

Parallelization experience with four canonical econometric models using ParMitISEM

Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

Persistent link: https://www.econbiz.de/10011485373

Parallelization experience with four canonical econometric models using ParMitISEM

Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-20

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...

Persistent link: https://www.econbiz.de/10011504818