Search Results - subject:"importance sampling."

Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach

Jouini, Elyès; Mansour, Selima Ben; Napp, Clotilde; … - HAL - 2008

Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. This quantity is of particular importance since it characterizes the consensus belief in risk-taking...

Persistent link: https://www.econbiz.de/10008791743

Possibly Ill-behaved Posteriors in Econometric Models

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10011255771

Possibly ill-behaved posteriors in econometric models

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10011374406

Parameter driven multi-state duration models : simulated vs. approximate maximum likelihood estimation

Monteiro, André Antonio - 2008 - This version: February 15, 2008

evaluating the likelihood, two of the methods rely on Monte Carlo integration with importance sampling techniques. The third …

Persistent link: https://www.econbiz.de/10011374420

Adaptive mixture of student-t distributions as a flexible Candidate distribution for efficient simulation

Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008 - Version of this paper: December 12, 2008

adaptive mixture of Student-t distributions to the density of interest via its kernel function. Then, importance sampling or … model fitted to foreign exchange log-returns data. The methodology is compared to standard cases of importance sampling and …

Persistent link: https://www.econbiz.de/10011376537

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid …

Persistent link: https://www.econbiz.de/10011377096

Estimating the distribution of total default losses on the Spanish financial system

García-Céspedes, Rubén; Moreno, Manuel - In: Journal of Banking & Finance 49 (2014) C, pp. 242-261

Carlo importance sampling (IS) approach. We start obtaining all the required information for the standard credit risk model …

Persistent link: https://www.econbiz.de/10011118094

Inference for longitudinal data with nonignorable nonmonotone missing responses

Sinha, Sanjoy K.; Kaushal, Amit; Xiao, Wenzhong - In: Computational Statistics & Data Analysis 72 (2014) C, pp. 77-91

Monte Carlo method, based on importance sampling, for approximating the maximum likelihood estimators. The finite …

Persistent link: https://www.econbiz.de/10010730222

Bayesian model diagnostics using functional Bregman divergence

Goh, Gyuhyeong; Dey, Dipak K. - In: Journal of Multivariate Analysis 124 (2014) C, pp. 371-383

It is crucial to check validation of any statistical model after fitting it for a given set of data. In Bayesian statistics, a researcher can check the fit of the model using a variety of strategies. In this paper we consider two major aspects, first checking that the posterior inferences are...

Persistent link: https://www.econbiz.de/10010737761

Generalized dynamic panel data models with random effects for cross-section and time

Mesters, G.; Koopman, S.J. - In: Journal of Econometrics 180 (2014) 2, pp. 127-140

based on the importance sampling technique. In particular, a sequence of conditional importance densities is derived which …

Persistent link: https://www.econbiz.de/10010776911