Search Results - subject:"Expectation–maximization"

Factor extraction using Kalman filter and smoothing : this is not just another survey

Poncela, Pilar; Ruiz, Esther; Miranda, Karen - In: International journal of forecasting 37 (2021) 4, pp. 1399-1425

Persistent link: https://www.econbiz.de/10013274284

The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2017

This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which … mixture of Student-t densities is fitted to the target using an expectation maximization algorithm where each step of the …

Persistent link: https://www.econbiz.de/10012143909

Consumer choice models with endogenous network effects

Wang, Ruxian; Wang, Zizhuo - In: Management science : journal of the Institute for … 63 (2017) 11, pp. 3944-3960

Persistent link: https://www.econbiz.de/10011772823

An expectation-maximization algorithm to estimate the integrated choice and latent variable model

Sohn, Keemin - In: Transportation science : a journal of the Institute for … 51 (2017) 3, pp. 946-967

Persistent link: https://www.econbiz.de/10011744063

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Economic modelling 66 (2017), pp. 223-232

Persistent link: https://www.econbiz.de/10011813727

An alternative to the Baum-Welch recursions for hidden Markov models

Bartolucci, Francesco - Volkswirtschaftliche Fakultät, … - 2011

parameter estimation within the Expectation-Maximization algorithm. The approach is illustrated by an application to nancial …

Persistent link: https://www.econbiz.de/10011112821

Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approximate a non-elliptical target density using...

Persistent link: https://www.econbiz.de/10011451514

Parallelization experience with four canonical econometric models using ParMitISEM

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

Persistent link: https://www.econbiz.de/10011441581

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Nonlinear panel data estimation via quantile regressions

Arellano, Manuel; Bonhomme, Stéphane - In: The econometrics journal 19 (2016) 3, pp. 61-94

Persistent link: https://www.econbiz.de/10011712266