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A Monte Carlo study on the finite sample properties of the Gibbs sampling method for a stochastic frontier model

Zhang, Xingyuan - In: Journal of productivity analysis 14 (2000) 1, pp. 71-83

Persistent link: https://www.econbiz.de/10001492415

Particle efficient importance sampling

Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10011591626

Stochastic billiards for sampling from the boundary of a convex set

Dieker, A. B.; Vempala, Santosh S. - In: Mathematics of operations research 40 (2015) 4, pp. 888-901

Persistent link: https://www.econbiz.de/10011408940

Improving MCMC using efficient importance sampling

Liesenfeld, Roman (contributor); … - 2006

This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling … solution. EIS is a simple, generic and yet accurate Monte-Carlo integration procedure based on sampling densities which are … MCMC components such as auxiliary sampling densities, normalizing constants and starting values. The potential of this …

Persistent link: https://www.econbiz.de/10003327173

Stochastic comparisons of stratifed sampling techniques for some Monte Carlo estimators

Goldstein, Larry; Rinott, Yosef; Scarsini, Marco - 2010

Persistent link: https://www.econbiz.de/10008746224

Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks

Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584

Persistent link: https://www.econbiz.de/10011431022

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Stochastic market modeling with Gaussian Quadratures : do rotations of Stroud's octahedron matter?

Artavia, Marco; Grethe, Harald; Zimmermann, Georg - In: Economic modelling 45 (2015), pp. 155-168

Persistent link: https://www.econbiz.de/10011334132

A note on sample complexity of multistage stochastic programs

Reaiche, M. M. C. R. - In: Operations research letters 44 (2016) 4, pp. 430-435

Persistent link: https://www.econbiz.de/10011535313

Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

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