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Joint Bayesian analysis of oarameters and states in nonlinear non‐Gaussian state space models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - In: Journal of applied econometrics 32 (2017) 5, pp. 1003-1026
Persistent link: https://www.econbiz.de/10011862307
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Generalized dynamic panel data models with random effects for cross-section and time
Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140
Persistent link: https://www.econbiz.de/10010433402
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A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods
Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; … - 2010
quickly tuned adaptive candidate, straightforward importance sampling provides a computationally efficient estimator of the …
Persistent link: https://www.econbiz.de/10011380802
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Estimation of dynamic models of recurrent events with censored data
Lee, Sanghyeok; Gørgens, Tue - In: The econometrics journal 24 (2021) 2, pp. 199-224
Persistent link: https://www.econbiz.de/10012594987
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Updating variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel; Forbes, Catherine Scipione; … - 2020
Persistent link: https://www.econbiz.de/10012608357
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Estimating the distribution of total default losses on the Spanish financial system
García-Céspedes, Rubén; Moreno, Manuel - In: Journal of banking & finance 49 (2014), pp. 242-261
Persistent link: https://www.econbiz.de/10010508036
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Improved marginal likelihood estimation via power posteriors and importance sampling
Li, Yong; Wang, Nianling; Yu, Jun - In: Journal of econometrics 234 (2023) 1, pp. 28-52
Persistent link: https://www.econbiz.de/10014364649
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Updating Variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel; Forbes, Catherine Scipione; … - 2019
Persistent link: https://www.econbiz.de/10012592824
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Conditional density forecasting : a tempered importance sampling approach
Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2022
proposed algorithm, which is based on tempered importance sampling, adapts the model-based density forecasts to target …
Persistent link: https://www.econbiz.de/10013463266
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Computing bayes : from then 'til now
Martin, Gael M.; Frazier, David T.; Robert, Christian P. - 2022
Persistent link: https://www.econbiz.de/10013494406