Search Results - subject:"Bayesian Approach"

Data-driven stochastic optimization for distributional ambiguity with integrated confidence region

Rebennack, Steffen - In: Journal of Global Optimization 84 (2022) 2, pp. 255-293

We discuss stochastic optimization problems under distributional ambiguity. The distributional uncertainty is captured by considering an entire family of distributions. Because we assume the existence of data, we can consider confidence regions for the different estimators of the parameters of...

Persistent link: https://www.econbiz.de/10015178308

A Dynamic Baseline Calibration Procedure for CGE models

Ziesmer, Johannes; Jin, Ding; Thube, Sneha D; Henning, … - In: Computational Economics 61 (2022) 4, pp. 1331-1368

sources of projections and the applied calibration methods. We propose a general, Bayesian approach that can be employed to …

Persistent link: https://www.econbiz.de/10015193609

New definition of default - recalibration of credit risk models using Bayesian approach

Ptak-Chmielewska, Aneta; Kopciuszewski, Paweł - In: Risks 10 (2022) 1, pp. 1-16

considering a Bayesian approach for PD recalibration based on insights derived from both simulated and empirical data (e.g., a … priori and a posteriori distributions). A Bayesian approach was used in two steps: to calculate the Long Run Average (LRA) on … both simulated and empirical data and for the final model calibration to the posterior LRA. The Bayesian approach result …

Persistent link: https://www.econbiz.de/10013200907