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Bendera, Christian; Moseler, Thilo - 2008

In this paper we explain how the importance sampling technique can be generalized from simulating expectations to … success of the generalized importance sampling is illustrated by numerical examples in the context of Asian option pricing …

Persistent link: https://www.econbiz.de/10003877018

A Monte Carlo sampling plan for estimating network reliability

Fishman, George S. - In: Operations research 34 (1986) 4, pp. 581-594

Persistent link: https://www.econbiz.de/10003548848

Experiments with some alternatives for simple implrtance sampling in Monte Carlo integration

Dijk, H. K. van; Kloek, T. - 1983

Persistent link: https://www.econbiz.de/10003552742

Improving the finite sample performance of autoregression estimators in dynamic factor models : a bootstrap approach

Shintani, Mototsugu; Guo, Zi-yi - 2015

Persistent link: https://www.econbiz.de/10011448651

Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach

Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015

Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...

Persistent link: https://www.econbiz.de/10011499604

Scalable MCMC for large data problems using data subsampling and the difference estimator

Quiroz, Matias; Villani, Mattias; Kohn, Robert - 2015

observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling …

Persistent link: https://www.econbiz.de/10011300365

Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...

Persistent link: https://www.econbiz.de/10011300710

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

Persistent link: https://www.econbiz.de/10011373293

Radius matching on the propensity score with bias adjustment : tuning parameters and finite sample behaviour

Huber, Martin; Lechner, Michael; Steinmayr, Andreas - In: Empirical economics : a journal of the Institute for … 49 (2015) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011317709