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We point out that the simple slice sampler generates chains that are correlation-free when the target distribution is centrally symmetric. This property explains several results in the literature about the relative performance of the simple and product slice samplers. We exploit it to improve...
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application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive … introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …
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