Search Results - subject:"expectation maximization"

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018

length of memory in the system. We exploit the powerful Expectation Maximization (EM) algorithm and objective statistical …

Persistent link: https://www.econbiz.de/10011900335

On factor models with random missing : EM estimation, inference, and cross validation

Jin, Sainan; Miao, Ke; Su, Liangjun - In: Journal of econometrics 222 (2021) 1,3, pp. 745-777

Persistent link: https://www.econbiz.de/10012619784

Inferring Origin-Destination demand and user preferences in a multi-modal travel environment using automated fare collection data

Wu, Laiyun; Kang, Jee Eun; Chung, Younshik; Nikolaev, … - In: Omega : the international journal of management science 101 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012494673

Predicting the loss given default distribution with the zero-inflated censored beta-mixture regression that allows probability masses and bimodality

Hwang, Ruey-Ching; Chu, Chih-Kang; Yu, Kaizhi - In: Journal of financial services research 59 (2021) 3, pp. 143-172

Persistent link: https://www.econbiz.de/10012547106

Demand estimation under the multinomial logit model from sales transaction data

Abdallah, Tarek; Vulcano, Gustavo - In: Manufacturing & service operations management : M & SOM 23 (2021) 5, pp. 1196-1216

Persistent link: https://www.econbiz.de/10012653981

Gamma Mixture Density Networks and their application to modelling insurance claim amounts

Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 240-261

Persistent link: https://www.econbiz.de/10012793926

A hybrid approach to real estate price definition : a case study in Western Switzerland

Baillif, Maurin; De Lapparent, Matthieu; Kazagli, Evanthia - In: Revue économique : revue bimestrielle 72 (2021) 6, pp. 1055-1077

Persistent link: https://www.econbiz.de/10012800401

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

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