Search Results - subject:"importance sampling."

Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011372502

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

A Mata Geweke–Hajivassiliou–Keane multivariate normal simulator

Gates, Richard - In: Stata Journal 6 (2006) 2, pp. 190-213

An accurate and efficient numerical approximation of the multivariate normal (MVN) distribution function is necessary for obtaining maximum likeli- hood estimates for models involving the MVN distribution. Numerical integration through simulation (Monte Carlo) or number-theoretic (quasi-Monte...

Persistent link: https://www.econbiz.de/10004964303

Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization

Tilke, Stephan - Wirtschaftswissenschaftliche Fakultät, Universität … - 2006

The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit … enhanced by means of IS. Dieser Beitrag soll die Auswirkung der Anwendung von Importance Sampling (IS) Techniken in der … Importance Sampling Technik im Optimierungsverfahren sowie durch ein empirisches Beispiel wird die Leistungsfähigkeit der Methode …

Persistent link: https://www.econbiz.de/10005063027

SMC^2: an efficient algorithm for sequential analysis of state-space models

Chopin, Nicolas; Jacob, Pierre E.; Papaspiliopoulos, Omiros - Université Paris-Dauphine (Paris IX) - 2013

process y, state process x and fixed parameter theta. An idealized approach would be to apply the iterated batch importance … sampling (IBIS) algorithm of Chopin (2002). This is a sequential Monte Carlo algorithm in the theta-dimension, that samples …

Persistent link: https://www.econbiz.de/10011166506

Inference on unknown parameters of a Burr distribution under hybrid censoring

Rastogi, Manoj; Tripathi, Yogesh - In: Statistical Papers 54 (2013) 3, pp. 619-643

Based on hybrid censored data, the problem of making statistical inference on parameters of a two parameter Burr Type XII distribution is taken up. The maximum likelihood estimates are developed for the unknown parameters using the EM algorithm. Fisher information matrix is obtained by applying...

Persistent link: https://www.econbiz.de/10010848046

Recentered importance sampling with applications to Bayesian model validation

Nur, Darfiana; Mengersen, Kerrie; Mcvinish, Ross - Université Paris-Dauphine (Paris IX) - 2013

Since its introduction in the early 90's, the idea of using importance sampling (IS) with Markov chain Monte Carlo …

Persistent link: https://www.econbiz.de/10010960512

Systemic risk contributions: A credit portfolio approach

Puzanova, Natalia; Düllmann, Klaus - In: Journal of Banking & Finance 37 (2013) 4, pp. 1243-1257

We put forward a framework for measuring systemic risk and attributing it to individual banks. Systemic risk is coherently measured as the expected loss to depositors and investors when a systemic event occurs. The risk contributions are calculated so as to ensure a full risk allocation among...

Persistent link: https://www.econbiz.de/10011065678

Imortance Sampling Schemes for Evidence Approximation in Mixture Models

Lee, Jeong Eun; Robert, Christian - Centre de Recherche en Économie et Statistique … - 2013

overcome the bias. In an importance sampling approach, imposing label switching to the importance function results in an … exponential increase of the computational cost with the number of components. In this paper, two importance sampling schemes are … scheme is called dual importance sampling. We demonstrate that this dual importance sampling is a valid estimator of the …

Persistent link: https://www.econbiz.de/10010746998

Bayes estimation for the Marshall–Olkin bivariate Weibull distribution

Kundu, Debasis; Gupta, Arjun K. - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 271-281

Bayes estimators cannot be obtained in explicit forms. We propose to use the importance sampling method to compute the Bayes …

Persistent link: https://www.econbiz.de/10010580840