A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Lennart Hoogerheide; Anne Opschoor; Herman K. van Dijk
| Year of publication: |
2012
|
|---|---|
| Authors: | Hoogerheide, Lennart ; Opschoor, Anne ; Dijk, Herman K. van |
| Publisher: |
Rotterdam |
| Subject: | Mixture of Student-t distributions | Importance sampling | Kullback-Leibler divergence | Expectation maximization | Metropolis-Hastings algorithm | Predictive likelihood | DCC GARCH | Mixture GARCH | Instrumental variables | mixture of Student-t distributions | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Algorithmus | Algorithm | IV-Schätzung | ARCH-Modell | ARCH model | Theorie | Theory | Bayes-Statistik | Bayesian inference |
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