Search Results - subject:"importance sampling."

Culture as a determinant of the importance level business students place on ten teaching/learning techniques : A survey of university students

Rodrigues, Carl A. - In: Journal of Management Development 24 (2005) 7, pp. 608-621

Purpose – Seeks to examine the impact of national culture on the importance level students place on ten teaching techniques commonly used by US business instructors. Design/methodology/approach – Undergraduate and MBA business students, including students born in the USA and students born in...

Persistent link: https://www.econbiz.de/10014882386

Exact tests for the rasch model via sequential importance sampling

Chen, Yuguo; Small, Dylan - In: Psychometrika 70 (2005) 1, pp. 11-30

Persistent link: https://www.econbiz.de/10005603638

The latent factor VAR model: Testing for a common component in the intraday trading process

Hautsch, Nikolaus - Økonomisk Institut, Københavns Universitet - 2005

using efficient importance sampling techniques. Analyzing intraday data from the NYSE, we find strong empirical evidence for …

Persistent link: https://www.econbiz.de/10005750002

An Integrated Treatment of Monte Carlo Numerical Integration Techniques

Richard, J.F.; Liesenfeld, R. - Society for Computational Economics - SCE - 2005

Using an unified framework, we integrate the two major Monte Carlo techniques currently available: Efficient Importance … Sampling (EIS) and Markov Chain Monte Carlo (MCMC). We do so for two reasons. First, the two methods complement one another …

Persistent link: https://www.econbiz.de/10005343042

Importance Sampling for Portfolio Credit Risk

Glasserman, Paul; Li, Jingyi - In: Management Science 51 (2005) 11, pp. 1643-1656

significant losses resulting from a large number of defaults. This makes importance sampling (IS) potentially attractive. But the …

Persistent link: https://www.econbiz.de/10009191545

Numerical Aspects of Bayesian VAR-modeling

Kadiyala, K. Rao; Karlsson, Sune - Economics Institute for Research (SIR), … - 1994

In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. This paper considers the numerical procedures...

Persistent link: https://www.econbiz.de/10005649366

Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results

Hajivassiliou, Vassilis A.; McFadden, Daniel; Ruud, Paul A. - Cowles Foundation for Research in Economics, Yale University - 1994

inference: the Crude Frequency Simulator (CFS), Normal Importance Sampling (NIS), a Kernel-Smoothed Frequency Simulator (KFS …

Persistent link: https://www.econbiz.de/10005634724

Simulation estimation for panel data models with limited dependent variables

Keane, Michael - Volkswirtschaftliche Fakultät, … - 1993

Simulation estimation in the context of panel data, limited dependent-variable (LDV) models poses formidable problems that are not present in the crosssection case. Nevertheless, a number of practical simulation estimation methods have been proposed and implemented for panel data LDV models....

Persistent link: https://www.econbiz.de/10011112867

What to Do When Your Hessian is Not Invertible

Gill, Jeff; King, Gary - In: Sociological Methods & Research 33 (2004) 1, pp. 54-87

What should a researcher do when statistical analysis software terminates before completion with a message that the Hessian is not invertible? The standard textbook advice is to respecify the model, but this is another way of saying that the researcher should change the question being asked....

Persistent link: https://www.econbiz.de/10010789431

Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers

Lee, Kai; Koopman, Siem Jan - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 2, pp. 1210-1210

volatility model. For both methods, the likelihood function is estimated using importance sampling techniques. Based on a Monte … Carlo study, we assess which method is more effective. Further, we validate the two methods using diagnostic importance … sampling test procedures. Stochastic volatility models with Gaussian and Student-t distributed disturbances are considered. …

Persistent link: https://www.econbiz.de/10005246283