Search Results - subject:"importance sampling."

Minimization of a class of rare event probabilities and buffered probabilities of exceedance

Budhiraja, Amarjit; Lu, Shu; Yu, Yang; Tran-Dinh, Quoc - 2021

Persistent link: https://www.econbiz.de/10012605874

Efficient risk measures calculations for generalized CreditRisk+ models

Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51

Persistent link: https://www.econbiz.de/10012650350

A mixed frequency stochastic volatility model for intraday stock market returns

Bekierman, Jeremias; Gribisch, Bastian - In: Journal of financial econometrics 19 (2021) 3, pp. 496-530

Persistent link: https://www.econbiz.de/10012654963

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 … optimization procedure is weighted using importance sampling. In the second stage this mixture density is a candidate density for … efficient and robust application of importance sampling or the Metropolis-Hastings (MH) method to estimate properties of the …

Persistent link: https://www.econbiz.de/10012143909

Estimation of dynamic models of recurring events with censored data

Gorgens, Tue; Lee, Sanghyeok - 2017

Persistent link: https://www.econbiz.de/10011884671

Improving approximate Bayesian computation via quasi Monte Carlo

Buchholz, Alexander; Chopin, Nicolas - 2017

Persistent link: https://www.econbiz.de/10012198654

Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

density is required. The approximation can be used as a candidate density in Importance Sampling or Metropolis Hastings …

Persistent link: https://www.econbiz.de/10011451514

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks 4 (2016) 2, pp. 1-23

-form formulae. Additionally, we employ the importance sampling simulations to derive ruin probabilities, which further permit an in …

Persistent link: https://www.econbiz.de/10011709558

Parallelization experience with four canonical econometric models using ParMitISEM

Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - In: Econometrics 4 (2016) 1, pp. 1-20

candidate density in Importance Sampling or Metropolis Hastings methods for Bayesian inference on model parameters and …

Persistent link: https://www.econbiz.de/10011755318

Evolutionary sequential Monte Carlo samplers for change-point models

Dufays, Arnaud - In: Econometrics 4 (2016) 1, pp. 1-33

Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain Monte-Carlo (MCMC) methods. Not only do SMC...

Persistent link: https://www.econbiz.de/10011755319