A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Year of publication: |
2011
|
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Authors: | Hoogerheide, Lennart ; Opschoor, Anne ; van Dijk, Herman K. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Statistische Verteilung | Stichprobenverfahren | Risikomaß | Algorithmus | ARCH-Modell | Theorie | mixture of Student-t distributions | importance sampling | Kullback-Leibler divergence | Expectation Maximization | Metropolis-Hastings algorithm | predictive likelihoods | mixture GARCH models | Value at Risk |
Series: | Tinbergen Institute Discussion Paper ; 11-004/4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 840009615 [GVK] hdl:10419/86717 [Handle] RePEc:dgr:uvatin:20110004 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; c36 |
Source: |
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Hoogerheide, Lennart, (2011)
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Hoogerheide, Lennart, (2011)
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