Search Results - subject:"Data Augmentation"

Chen, Yuguo - In: Statistics & Probability Letters 82 (2012) 3, pp. 473-477

The multiset sampler (MSS) can be viewed as a new data augmentation scheme and it has been applied successfully to a … to facilitate the inference based on Markov chain Monte Carlo. The standard data augmentation strategy corresponds to the … convergence rate for the MSS with large multiset sizes over the standard data augmentation scheme. …

Persistent link: https://www.econbiz.de/10010571763

Bayesian Analysis of Continuous Time Models of the Australian Short Rate

Sanford, Andrew D.; Martin, Gael - Department of Econometrics and Business Statistics, … - 2004

using the Savage-Dickey density ratio. A data augmentation approach is used to improve the accuracy of the discrete time …

Persistent link: https://www.econbiz.de/10005427611

Efficient simulation of Bayesian logistic regression models

Holmes, C; Knorr-Held, L - 2003

In this paper we highlight a data augmentation approach to inference in the Bayesian logistic regression model. We …

Persistent link: https://www.econbiz.de/10010263505

A Statistical Framework for Estimating Output-Specific Efficiencies

Gstach, Dieter - Vienna University of Economics and Business, Department … - 2003

This paper presents a statistical framework for estimating output-specific efficiencies for the 2-output case based upon a DEA frontier estimate. The key to the approach is the concept of target output-mix. Being usually unobserved, target output-mixes of firms are modelled as missing data....

Persistent link: https://www.econbiz.de/10005539143

Asset Returns and State-Dependent Risk Preferences

Gordon, Stephen; St-Amour, Pascal - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with...

Persistent link: https://www.econbiz.de/10005100531

Asset Returns and State-Dependent Risk Preferences

Gordon, Stephen; St-Amour, Pascal - Centre Interuniversitaire sur le Risque, les Politiques … - 2003

We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess on equity includes both consumption risk as well as the risk associated with variations...

Persistent link: https://www.econbiz.de/10005696262

Simulation-Based Bayesian Estimation of Affine Term Structure Models

Sanford, Andrew D.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2003

This paper demonstrates the application of Bayesian simulation-based estimation to a class of interest rate models known as Affine Term Structure (ATS) models. The technique used is based on a Markov Chain Monte Carlo algorithm, with the discrete observations on yields augmented by additional...

Persistent link: https://www.econbiz.de/10005149102

Bayesian data augmentation methods for the synthesis of qualitative and quantitative research findings

Crandell, Jamie; Voils, Corrine; Chang, YunKyung; … - In: Quality & Quantity: International Journal of Methodology 45 (2011) 3, pp. 653-669

Persistent link: https://www.econbiz.de/10009396286

Die Einflüsse von Antwortverweigerung und mehrfacher Ergänzung fehlender Daten auf Produktivitätsschätzungen mit dem IAB-Betriebspanel / The Effect of Item-nonresponse and Multiple imputation of Missing Data on the Estimation of Productivity Based on German Establishment Data

Kölling, Arnd; Rässler, Susanne - In: Jahrbücher für Nationalökonomie und Statistik 223 (2003) 3, pp. 279-311

dem Jahr 2000, wobei fehlende Daten mit Hilfe des „Data Augmentation” Algorithmus’ geeignet mehrfach ergänzt werden … analysis when estimation of producitivity is the task. To multiply impute the missing data the “data augmentation” algorithm is …

Persistent link: https://www.econbiz.de/10014608937

NO-RESPUESTA DE ITEMS EN ESTUDIOS DE MERCADO

MARSHALL, PABLO - In: Abante 5 (2002) 1, pp. 53-76

whole variability in the estimates. Multiple imputation, based on Bayesian models and data augmentation gives the best …

Persistent link: https://www.econbiz.de/10005690197