Search Results - subject:"importance sampling."

Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series

Koopman, Siem Jan; Lee, Kai Ming - 2005

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...

Persistent link: https://www.econbiz.de/10010325334

Model-based Measurement of Actual Volatility in High-Frequency Data

Jungbacker, B.; Koopman, S.J. - 2005

are based on importance sampling techniques. It is shown that such Monte Carlo techniques can be employed successfully for …

Persistent link: https://www.econbiz.de/10010325421

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005

estimated using importance sampling techniques that have been modified in a multivariate setting. This multivariate approach has …

Persistent link: https://www.econbiz.de/10010325605

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks

van Dijk, Herman K.; Hoogerheide, Hoogerheide, L.F.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2005

credible sets. When approximating such contours using Monte Carlo integration methods like importance sampling or Markov chain …

Persistent link: https://www.econbiz.de/10010731672

Estimation bayésienne approximative par échantillonnage préférentiel

Guillin, Arnaud; Marin, Jean-Michel; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2005

alternative to the use of the MCMC approximations, Cappé et al. [2004] have shown that the notion of importance sampling …

Persistent link: https://www.econbiz.de/10011073850

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks

Hoogerheide, L.F.; Kaashoek, J.F.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2005

credible sets. When approximating such contours using Monte Carlo integration methods like importance sampling or Markov chain … contours using Monte Carlo integration methods like importance sampling or Markov chain Monte Carlo procedures the speed of the … indicate the feasibility of the neural network approach. Keywords: instrumental variables, reduced rank, importance sampling …

Persistent link: https://www.econbiz.de/10004991114

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks

HOOGERHEIDE, Lennart F.; KAASHOEK, Johan F.; DIJK, … - Center for Operations Research and Econometrics (CORE), … - 2005

credible sets. When approximating such contours using Monte Carlo integration methods like importance sampling or Markov chain …

Persistent link: https://www.econbiz.de/10005043139

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert J. - de Nederlandsche Bank - 2005

simultaneously. The model is estimated using importance sampling techniques that have been modified to a multivariate setting. We …

Persistent link: https://www.econbiz.de/10005106684

Time Series of Count Data : Modelling and Estimation

Jung, Robert; Kukuk, Martin; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2005

This paper compares various models for time series of counts which can account for discreetness, overdispersion and serial correlation. Besides observation- and parameter-driven models based upon corresponding conditional Poisson distributions, we also consider a dynamic ordered probit model as...

Persistent link: https://www.econbiz.de/10005082836

Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers

Smith, J. Q.; Santos, António - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2005

Particle Filters are now regularly used to obtain the filter distributions associated with state space financial time series. Most commonly used nowadays is the auxiliary particle filter method in conjunction with a first order Taylor expansion of the log-likelihood. We argue in this paper that...

Persistent link: https://www.econbiz.de/10005067717