Search Results - subject:"Metropolis–Hastings algorithm"

Likelihood inference for discretely observed non-linear diffusions

Shephard, Neil; Elerian, Ola; Chib, Siddhartha - Department of Economics, Oxford University - 1998

observations are available. The estimation is carried out using a tuned MCMC method, in particular a blocked Metropolis-Hastings … algorithm, by introducing auxiliary points and using the Euler-Maruyama discretisation scheme. Techniques for computing the …

Persistent link: https://www.econbiz.de/10010605114

A note on the existence of a closed form conditional transition density for the Milstein scheme

Elerian, Ola - Department of Economics, Oxford University - 1998

This paper is concerned with the estimation of stochastic differential equations when only discrete observations are available. It primarily focuses on deriving a closed form solution for the one-step ahead conditional transition density using the Milstein scheme. This higher order Taylor...

Persistent link: https://www.econbiz.de/10010605298

Robustness of Bayesian analyses

Kadane, Joseph B. (ed.) - 1984

Persistent link: https://www.econbiz.de/10000056213

Bayesian models in economic theory

Boyer, Marcel (ed.); Kihlstrom, Richard E. (contributor) - 1984

Persistent link: https://www.econbiz.de/10000085901

The generalized multinominal distribution : a Bayesian analysis and applications

Boender, Cornelius Gustaaf Eduard - 1984

Persistent link: https://www.econbiz.de/10001926531

A Bayesian approach to CVP analysis under parameter uncertainty

Barry, Christopher B. - In: The quarterly review of economics and business : … 24 (1984) 2, pp. 71-90

Persistent link: https://www.econbiz.de/10001868382

Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo

Bauwens, Luc - 1984

I. The Statistical Model -- 1.1 Notation -- 1.2 Interpretation -- 1.3 Likelihood function -- II. Bayesian Inference: The Extended Natural-Conjugate Approach -- II.1 Two reformulations of the likelihood function -- II.2 The extended natural-conjugate prior density -- II.3 Posterior densities --...

Persistent link: https://www.econbiz.de/10013519446

Bayesian hypothesis testing in linear models with continuously induced conjugate priors across hypotheses

Poirier, Dale J. - 1984

Persistent link: https://www.econbiz.de/10003652795

Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo

Bauwens, Luc - 1984

Persistent link: https://www.econbiz.de/10013277978

A reinterpretation of potential surprise

Shields, Michael P. - In: The journal of economics 9 (1983), pp. 25-29

Persistent link: https://www.econbiz.de/10001401752