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Ensemble MCMC sampling for robust Bayesian inference
Böhl, Gregor - 2022
macroeconomic models. It allows sampling from particularly challenging, high-dimensional black-box posterior distributions which may …
Persistent link: https://www.econbiz.de/10013473686
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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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Ensemble MCMC sampling for robust bayesian inference
Böhl, Gregor - In: CeNDEF working paper (2022) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10014377678
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Ensemble MCMC Sampling for Robust Bayesian Inference
Boehl, Gregor - 2022
macroeconomic models. It allows sampling from particularly challenging, high-dimensional black-box posterior distributions which may …
Persistent link: https://www.econbiz.de/10014242595
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Combining internal data with scenario analysis
Karam, Elias; Planchet, Frédéric - In: Modern economy 6 (2015) 5, pp. 563-577
Persistent link: https://www.econbiz.de/10011384471
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Dynamic operational risk : modeling dependence and combining different sources of information
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. - In: The journal of operational risk 4 (2009/10) 2, pp. 69-104
Persistent link: https://www.econbiz.de/10003883157
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Dynamic Operational Risk : Modeling Dependence and Combining Different Sources of Information
Peters, Gareth - 2014
Slice sampling to obtain samples from the resulting posterior distribution and estimate the model parameters …
Persistent link: https://www.econbiz.de/10013043653
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A pilot project for peer benchmarking of operational risk scenarios
Condamin, Laurent; Marie, Clémentine; Naim, Patrick - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 381-392
Persistent link: https://www.econbiz.de/10011980283
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Testing restrictions in hierarchical normal data models using Gibs sampling
Ciccarelli, Matteo - In: Research in economics : an international review of economics 58 (2004) 2, pp. 135-157
Persistent link: https://www.econbiz.de/10002118420