We study a model in which a potential bidder in a government procurement may challenge its exclusion from the procurement before a quasi-judicial board. In the case of a sole-source procurement, the excluded vendor does not know whether the decision was justified in terms of expected surplus or,...

In this paper, efficient importance sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate stochastic volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of...