Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

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Year of publication:	1999
Authors:	Bauwens, L. ; Bos, C.S. ; Van Dijk, H.K.
Institutions:	Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
Subject:	ECONOMETRICS \| MATHEMATICAL ANALYSIS \| SIMULATION

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Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	28 pages
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005779535