Search Results - subject:"Particle Learning"

A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Avanzi, Benjamin; Taylor, Greg; Vu, Phuong Anh; Wong, … - In: Insurance 93 (2020), pp. 50-71

Persistent link: https://www.econbiz.de/10012294061

Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model

Virbickaite, Audrone; Lopes, Hedibert F.; Ausín, Concepcion - Departamento de Estadistica, Universidad Carlos III de … - 2014

This paper designs a Particle Learning (PL) algorithm for estimation of Bayesian nonparametric Stochastic Volatility …

Persistent link: https://www.econbiz.de/10010940764

Particle filters and Bayesian inference in financial econometrics

Lopes, Hedibert F.; Tsay, Ruey S. - In: Journal of Forecasting 30 (2011) 1, pp. 168-209

HASH(0x100a788a8)

Persistent link: https://www.econbiz.de/10008774200

State space mixed models for binary responses with scale mixture of normal distributions links

Abanto-Valle, Carlos A.; Dey, Dipak K. - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 274-287

A state space mixed models for binary time series where the inverse link function is modeled to be a cumulative distribution function of the scale mixture of normal (SMN) distributions. Specific inverse links examined include the normal, Student-t, slash and the variance gamma links. The...

Persistent link: https://www.econbiz.de/10010719688