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Chapter 1 Bayesian Forecasting
Geweke, John; Whiteman, Charles - 2006
Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...
Persistent link: https://www.econbiz.de/10014023705
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Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances
Hoogerheide, Lennart F. - 2007
In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …
Persistent link: https://www.econbiz.de/10012729891
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Risk Analysis Probability of Default : A Stochastic Simulation Model
Montesi, Giuseppe - 2015
We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given … identify the default condition, and solve the model by Monte Carlo simulation. First, we present the model; then we show how to …
Persistent link: https://www.econbiz.de/10013023044
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Simulation Methods for Compound Distributions
Li, Ang; Ren, Jiandong - 2022
This paper studies in detail simulation methods for simulating tail probability and tail mean of both univariate and …
Persistent link: https://www.econbiz.de/10013297158
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Skewness and Kurtosis of 18 Simulated Probability Distributions with Varying Sample Size and Scale
Peterson, Leif - 2022
We studied the effects of sample size and distribution scale/shape for 3 types of skewness (g1, G1, and b1) and kurtosis (g2, G2, and b2) using 18 simulated probability distributions. In general, skewness and kurtosis always increased with increasing sample size. The order in the skewness...
Persistent link: https://www.econbiz.de/10014242098
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Nonparametric inference for second order stochastic dominance
Schmid, Friedrich; Trede, Mark - 1996
This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are influenced by sampling errors. We establish...
Persistent link: https://www.econbiz.de/10008992397
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Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
Opdyke, J.D. - 2017
the severity distributions most commonly used in these settings, and it is tested against extensive Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10012967848
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Calculation of Transition Probabilities of SDEs Only from the Knowledge of Marginal Probabilities Using the CDF-Equivalent Brownian Motion Method
Amin, Ahsan - 2018
In this article, we show how to calculate the conditional and transition probabilities of any SDE between two different points across time only from the knowledge of their marginal probabilities on these two time grids. Briefly, we construct CDF-Equivalent standard Brownian motion grids from the...
Persistent link: https://www.econbiz.de/10012928070
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Smoothed Empirical Likelihood Methods for Quantile Regression Models
Whang, Yoon-Jae - 2004
This paper considers an empirical likelihood method to estimate the parameters of the quantile regression (QR) models and to construct confidence regions that are accurate in finite samples. To achieve the higher-order refinements, we smooth the estimating equations for the empirical likelihood....
Persistent link: https://www.econbiz.de/10014072593
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A Bayesian Approach to Inference on Probabilistic Surveys
Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022
with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict …
Persistent link: https://www.econbiz.de/10014080529